The optimal hedge ratio for the six month contract on wheat

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Reference no: EM132018844

Suppose the scenario that the standard deviation of semiannual changes in the price of wheat is $.79, the standard deviation of changes in the futures contract on wheat over the same time period is $.93, and the correlation coefficient relating the asset and futures contract is .86.

What is the optimal hedge ratio for the six month contract on wheat?

Reference no: EM132018844

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