where Ps(t)f (t,T) is the correlation coefficient between the spot and futures prices, and s(t), f(t,r)...
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where Ps(t)f (t,T) is the correlation coefficient between the spot and futures prices, and s(t), f(t,r) are the standard deviations. The variance is a quadratic function in N and has a minimum at N = Ps(t)f(t,T) which is the optimal hedge ratio. Js(t) Of(t,T) Exercise 6.9 Find the optimal hedge ratio if the interest rates are constant. where Ps(t)f (t,T) is the correlation coefficient between the spot and futures prices, and s(t), f(t,r) are the standard deviations. The variance is a quadratic function in N and has a minimum at N = Ps(t)f(t,T) which is the optimal hedge ratio. Js(t) Of(t,T) Exercise 6.9 Find the optimal hedge ratio if the interest rates are constant.
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To find the optimal hedge ratio when interest rates are constant we nee... View the full answer
Related Book For
Business Statistics
ISBN: 9780133899122
3rd Canadian Edition
Authors: Norean D. Sharpe, Richard D. De Veaux, Paul F. Velleman, David Wright
Posted Date:
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