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

Expert Solution

jeff jeffy answered 1 month 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

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?

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?

A distribution is normal with a mean of 25 and a standard deviation of 3. 11....

A distribution is normal with a mean of 25 and a standard deviation of 3. 11. What is the median of the distribution? 12. What percent of the distribution lies between 22 and 28? 13. What percent of the distribution lies below 16? 14. What percent of the distribution lies above 28?

For of a bell-shaped data with mean of 110 and standard deviation of 11, approximately a)...

For of a bell-shaped data with mean of 110 and standard deviation of 11, approximately a) 0.15% of the values lies below: _________ b) 68% of the middle values lies between:______and______ c) 2.5% of the values lies above: ________ d) 0.15% of the values lies above:_________

Stock X has an expected return of 11% and the standard deviation of the expected return...

Stock X has an expected return of 11% and the standard deviation of the expected return is 12%. Stock Z has an expected return of 9% and the standard deviation of the expected return is 18%. The correlation between the returns of the two stocks is +0.2. These are the only two stocks in a hypothetical world. A.What is the expected return and the standard deviation of a portfolio consisting of 90% Stock X and 10% Stock Z? Will any...

Find the sample variance and standard deviation. 23, 16, 3, 8, 11

Consider a stock with a price of $120 and a standard deviation of 30 percent. The...

Consider a stock with a price of $120 and a standard deviation of 30 percent. The stock will pay a dividend of $5 in 40 days and a second dividend of $5 and 140 days. The current risk-free rate is 6 percent per annum. An American call on this stock has an exercise price of $150 and expires in 100 days. Price the American call option using the Black-Scholes Model. Show all calculations

Describe how the shape and standard deviation of a sampling distribution changes as sample size increases....

Describe how the shape and standard deviation of a sampling distribution changes as sample size increases. In other words, describe the changes that occur to a sampling distribution according to the Central Limit Theorem. Make sure you describe what a sampling distribution is in your answer. Generate pictures/diagrams to illustrate your thoughts if you would like.

Question

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

Solutions

Expert Solution

Related Solutions

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

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...

A distribution is normal with a mean of 25 and a standard deviation of 3. 11....

For of a bell-shaped data with mean of 110 and standard deviation of 11, approximately a)...

Stock X has an expected return of 11% and the standard deviation of the expected return...

Find the sample variance and standard deviation. 23, 16, 3, 8, 11

Find the sample variance and standard deviation. 23, 16, 3, 8, 11

Consider a stock with a price of $120 and a standard deviation of 30 percent. The...

Describe how the shape and standard deviation of a sampling distribution changes as sample size increases....