A trader owns 55,000 units of a particular asset and decides to hedge the value of her
Question:
(a) What is the minimum variance hedge ratio?
(b) Should the hedger take a long or short futures position?
(c) What is the optimal number of futures contracts with no tailing of the hedge?
(d) What is the optimal number of futures contracts with tailing of the hedge?
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a The minimum variance hedge ratio is 095043040102125 b The hedger shoul...View the full answer
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