Prove that Optimal Hedge Ratio, h * , for hedging strategies using futures equals to F...

Prove that Optimal Hedge Ratio, h * , for hedging strategies using futures equals to F S h   =  * , where σS is the standard deviation of the change in the spot price during the hedging period, ΔS; σF is the standard deviation of the change in the futures price during the hedging period, ΔF; ρ is the coefficient of correlation between ΔS and ΔF.

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Discuss the following theoretical dimensions to currency hedging: optimal hedge ratio, hedge symmetry, hedge effectiveness and...

Discuss the following theoretical dimensions to currency hedging: optimal hedge ratio, hedge symmetry, hedge effectiveness and hedge timing. (There are as many different approaches to exposure management as there are firms and no real consensus exists regarding the best approach)

If F is a field and ?(?),?(?),h(?) ∈ ?[?]; and h(?) ≠ 0. a) Prove that...

If F is a field and ?(?),?(?),h(?) ∈ ?[?]; and h(?) ≠ 0. a) Prove that [?(?)] = [?(?)] if and only if ?(?) ≡ ?(?)(???( (h(?)). b) Prove that congruence classes modulo h(?) are either disjoint or identical.

Calculate the optimal hedge ratio using the data provided. The producer has 3,000,000 MMBtu gas asset...

Calculate the optimal hedge ratio using the data provided. The producer has 3,000,000 MMBtu gas asset and need to hedge the exposure. Explain the producers’ position: should the producer long or short? How many futures contracts are needed? Show the calculations. HHC Price Futures Price Month Year 3/25/14 5.468 5.4 3 2014 3/26/14 5.668 5.29 3 2014 3/29/14 5.447 5.29 3 2014 3/30/14 5.378 5.4 3 2014 3/31/14 5.389 5.47 3 2014 4/1/14 5.310 5.31 4 2014 4/2/14 5.516 5.39...

Is the hedge ratio chosen in order to minimise the variance of a futures position? Why/why...

Is the hedge ratio chosen in order to minimise the variance of a futures position? Why/why not?

Describe how to use futures contracts to hedge. Calculate the profit or loss of using futures...

Describe how to use futures contracts to hedge. Calculate the profit or loss of using futures contract.

Determine the optimal hedge ratio for Treasury bonds worth $1,000,000 with a duration of 12.45, yielding...

Determine the optimal hedge ratio for Treasury bonds worth $1,000,000 with a duration of 12.45, yielding 11.9 percent if the futures has a price of $90,000, a duration of 8.5 years and an implied yield of 9.5 percent. a. 16.27 b. 16.63 c. 7.42 d. 11.11 e. none of the above which of the following is the interpretation of a VAR of $5 million for one year at .05. a. the probability is .05 that the firm will lose at...

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Prove that Optimal Hedge Ratio, h * , for hedging strategies using futures equals to F...

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Discuss the following theoretical dimensions to currency hedging: optimal hedge ratio, hedge symmetry, hedge effectiveness and...

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