Please show your work and explain how you got your answer along the way. Do not simply
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The following table gives data on daily dollar changes in the spot price and the futures price for a certain commodity. Use the data to calculate a minimum variance hedge ratio.
day | 1 | 2 | 3 | 4 | 5 |
Spot Price Change | +0.51 | +0.50 | ?0.40 | ?0.46 | +0.5 |
Futures Price Change | +0.47 | +0.52 | ?0.27 | ?0.4 | +0.60 |
day | 6 | 7 | 8 | 9 | 10 |
Spot Price Change | +0.1 | +0.1 | +0.65 | ?0.51 | ?0.53 |
Futures Price Change | ?0.06 | +0.15 | +0.80 | ?0.75 | ?0.64 |
Related Book For
Modern Systems Analysis And Design
ISBN: 9780134204925
8th Edition
Authors: Joseph Valacich, Joey George
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