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where Ps(t)f (t,T) is the correlation coefficient between the spot and futures prices, and s(t), f(t,r)...

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where Ps(t)f (t,T) is the correlation coefficient between the spot and futures prices, and s(t), f(t,r) are the standard deviations. The variance is a quadratic function in N and has a minimum at N = Ps(t)f(t,T) which is the optimal hedge ratio. Js(t) Of(t,T) Exercise 6.9 Find the optimal hedge ratio if the interest rates are constant. where Ps(t)f (t,T) is the correlation coefficient between the spot and futures prices, and s(t), f(t,r) are the standard deviations. The variance is a quadratic function in N and has a minimum at N = Ps(t)f(t,T) which is the optimal hedge ratio. Js(t) Of(t,T) Exercise 6.9 Find the optimal hedge ratio if the interest rates are constant.

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Optimal Hedge Ratio with Constant Interest Rates Assumptions Constant interest rates Spot and future... View the full answer


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Related Book For  answer-question
Business Statistics

Business Statistics

ISBN: 9780133899122

3rd Canadian Edition

Authors: Norean D. Sharpe, Richard D. De Veaux, Paul F. Velleman, David Wright

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