Question: Problem 3. Assume continuous time for any calculation (4 decimal places) Today A risk analyst looks for hedging alternatives for FINAMEXO's position in the investment

Problem 3. Assume continuous time for any calculation (4 decimal places)

Today A risk analyst looks for hedging alternatives for FINAMEXO's position in the investment portfolio.

Asset Price Avg Price Std. Dev Variance Securities
FINAMEXO 35.8 35.8358 0.2759 0.07612081 228,000
Price Size contract CORR with FINAMEXO COV with FINAMEXO Variance
E1 - IPC Futures Contract 30.2 250 0.44 15.867 0.0132
E2 - S & P500 Futures Contract 2400.1 45 0.212 4.1189 0.0119
E3 - ASDAQ Futures Contract 7421.3 25 0.391 10.9771 0.0294

Based on the calculation of the coverage ratio, what is the optimal number of contracts in each scenario?

# Optimum of contracts # Optimum of contracts # Optimum of contracts

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