A risk manager uses a futures contract, which has a correlation of 0.88 with the spot asset,

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A risk manager uses a futures contract, which has a correlation of 0.88 with the spot asset, to hedge her exposure. She calculates a hedge ratio of 0.9429. What part of the cash flow remains unhedged?

a: 5.71%

b: 77.446%

c: None of these

d: 22.56%

Related Book For answer-question

Financial Reporting and Analysis

ISBN: 978-0078025679

6th edition

Authors: Flawrence Revsine, Daniel Collins, Bruce, Mittelstaedt, Leon

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Posted Date: Feb 01, 2024 04:59 AM

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A risk manager uses a futures contract, which has a correlation of 0.88 with the spot asset,

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