11. The Standard deviation of quarterly changes in the price of a commodity is $0.65, the...

11. The Standard deviation of quarterly changes in the price of a commodity is $0.65, the standard deviation of quarterly changes in a futures price on the commodity is $0.81, and the coefficient of correlation between the two changes is 0.8. The minimum variance hedge ratio for a 3-month contract is:

a. 0.642

b. 0.732

c. 0.864

d. 0.997

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jeff jeffy answered 5 months ago

The standard deviation of quarterly changes in the price of a commodity is $0.65, the standard...

The standard deviation of quarterly changes in the price of a commodity is $0.65, the standard deviation of quarterly changes in a futures price on the commodity is $0.81, and the coefficient of correlation between the two changes is 0.8. What is the minimum variance hedge ratio for a 3-month contract

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Quarterly returns on an index are approximately normally distributed with a standard deviation of 10%. Index...

Quarterly returns on an index are approximately normally distributed with a standard deviation of 10%. Index returns over the most recent 20 quarters have a mean of 4%. Should a researcher who wants to show that the average quarterly returns for this index are positive reject the null hypothesis at the 5% significance level?

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11. The Standard deviation of quarterly changes in the price of a commodity is $0.65, the...

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