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An airline expects to purchase two million gallons of jet fuel in one month and decides...

An airline expects to purchase two million gallons of jet fuel in one month and decides to use heating oil futures for hedging. Suppose that the jet fuel standard deviation is 0.0313, the standard deviation of the stock price is 0.0263, and the correlation between futures and stock prices is  0.928. What is the optimal hedge ratio?

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jeff jeffy answered 2 years ago
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