Question
The variance of returns on the WOOPSE-100 stock index futures contract is 20%. The variance of returns on a WOOPSE-100 index-tracking portfolio is 15%. The
The variance of returns on the WOOPSE-100 stock index futures contract is 20%. The variance of returns on a WOOPSE-100 index-tracking portfolio is 15%. The coefficient of correlation between the index futures returns and portfolio returns is 0.9. Calculate the value of the minimum variance hedge ratio.
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A Study In Public Finance
Authors: A. C. Pigou
1st Edition
1443722766, 978-1443722766
