Question
The standard deviation of quarterly changed in the price of a commodity is $0.65, the standard deviation of quarterly changes in the futures price on
The standard deviation of quarterly changed in the price of a commodity is $0.65, the standard deviation of quarterly changes in the futures price on the commodity is $0.81, and the coefficient of correlation between the two changes is 0.8.The minimum variance hedge ratio for a 3-month contract is
Need more information to calculate this ratio
0.864
0.372
0.642
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Foundations of Financial Management
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen
16th edition
125927716X, 978-1259687969, 1259687961, 978-1259277160
