Silver futures and spot silver have a correlation factor of 0.97. If the standard deviation for the

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Silver futures and spot silver have a correlation factor of 0.97. If the standard deviation for the futures contract is 2.98 and the standard deviation for the spot is 1.87.

What is the optimum hedge ratio?

Based on the results in Problem what is the optimum number of SIL contracts to hedge 5,220 troy ounces of silver held in inventory?

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Investments Analysis and Management

ISBN: 978-1118363294

12th edition

Authors: Charles P. Jones

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Posted Date: Apr 17, 2023 02:41 AM

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Silver futures and spot silver have a correlation factor of 0.97. If the standard deviation for the

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To find the optimum hedge ratio we need to use the formula Hedge Ratio Correlati... View the full answer

Investments Analysis and Management

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