Suppose that the standard deviation of monthly changes in

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Suppose that the standard deviation of monthly changes in the price of commodity A is $2. The standard deviation of montly changes in a futures price for a contract on commodity B (which is similar to commodity A) is $3, The correlation between futures price and the commodity price is 0.9. What hedge ratio should be uses when hedging a one month exposure to the price of commodity A?

Reference no: EM13381581

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