题目
The hedge ratio is the ratio of derivatives to a spot position (or vice versa that achieves an objective such as minimizing or eliminating risk. Suppose that the standard deviation of quarterly changes in the price of a commodity is 0.57, the standard deviation of quarterly changes in the price of a futures contract on the commodity is 0.85, and the correlation between the two changes is 0.3876. What is the optimal hedge ratio for a 3-month contract?
选项
A.0.1893
B.0.2135
C.0.2381
D.0.2599
答案
D
解析
The optimal hedge ratio can be determined by the formula:「huixue_img/importSubject/1564169525266616320.png」