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The optimal hedge ratio is 1. The variance in price changes for underlying is 0.006084; while the variance in price changes for three-month futures contracts

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The optimal hedge ratio is 1. The variance in price changes for underlying is 0.006084; while the variance in price changes for three-month futures contracts for this instrument is 0.003844. The price correlation coefficient between the underlying and the forward instrument is: Wybierz jedn odpowied: a. 0,7908 b. 1 c. 0,6318 X d. 0,7949

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