Question
The standard deviation of monthly changes in the prices of a commodity is $1.9, the standard deviation of monthly changes in a futures price on
The standard deviation of monthly changes in the prices of a commodity is $1.9, the standard deviation of monthly changes in a futures price on the commodity is $5.9, and the coefficient of correlation between the two changes is 0.7. What is the optimal hedge ratio (in percent; do not include the percent sign in your answer) for a one-month contract?
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
