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Standard deviation of monthly changes

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Suppose that the standard deviation of monthly changes in the price of commodity A is $1. The standard deviation of monthly changes in a futures price for a contract on commodity B (which is similar to commodity A) is $2. The correlation between the futures price and the commodity price is 0.95. What hedge ratio should be used when hedging a one month exposure to the price of ommodity A?

Reference no: EM133118332

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