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The coefficient of correlation between the futures price of gold and spot gold is 0.61 . The standard deviation of monthly changes in the futures
The coefficient of correlation between the futures price of gold and spot gold is 0.61 . The standard deviation of monthly changes in the futures price of gold is $66 and the standard deviation of monthly changes in the spot price of gold is $47. What hedge ratio (in decimal format) should be used to hedge a one month exposure to the price of gold Step by Step Solution
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The Repo Handbook
Authors: Moorad Choudhry
1st Edition
0750651628, 978-0750651622
