a. Explain what an optimal hedge ratio is for portfolio hedging when the index and the futures

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a. Explain what an optimal hedge ratio is for portfolio hedging when the index and the futures contracts have the same volatility. 

b. Explain why it is referred to as a minimum hedge ratio.

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The Theory And Practice Of Investment Management

ISBN: 9780470929902

2nd Edition

Authors: Frank J Fabozzi, Harry M Markowitz

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