Question
The standard deviation of quarterly changes in the price of a commodity is $0.65, the standard deviation of quarterly changes in a futures price on
The standard deviation of quarterly changes in the price of a commodity is $0.65, the standard deviation of quarterly changes in a futures price on the commodity is $0.81, and the coefficient of correlation between the two changes is 0.8. What is the minimum variance hedge ratio for a 3-month contract
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Handbook Of Business Valuation
Authors: Thomas L. West, Jeffrey D. Jones
2nd Edition
0471297879, 978-0471297871
