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What is the closest optimal hedge ratio for a three-month

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Question 1: Suppose that the standard deviation of quarterly changes in the prices of a commodity is $ 0.60, the standard deviation of quarterly changes in a futures price on the commodity is $0.71, and the coefficient of correlation between the two changes is 0.45. What is the closest optimal hedge ratio for a three-month contract?

Reference no: EM132539757

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