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The correlation between changes in the price of a spot asset and futures asset is 85 %. The standard deviation of changes in spot prices

The correlation between changes in the price of a spot asset and futures asset is 85 %. The standard deviation of changes in spot prices is $, and that of futures prices is $3 . What is the standard deviation of a one - unit position with a hedge ratio of 0.60? a . 1.24 O b . 1.50 O . 1.06 d . 3.66 e . 4.23

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