Based on the minimum variance hedge ratio approach what is


Based on the minimum variance hedge ratio approach, what is the optimal number of futures contracts to deploy, given the following information. The correlation coefficient between changes in the underlying instrument's price and changes in the futures contract price is 0.95, the standard deviation of the changes in the underlying position's value is 300%, and the standard deviation of the changes in the futures contract's price is 11.4%? Correct answer is short 25 futures contracts.

Request for Solution File

Ask an Expert for Answer!!
Financial Management: Based on the minimum variance hedge ratio approach what is
Reference No:- TGS01396376

Expected delivery within 24 Hours