suppose that the standard deviation of monthly


Suppose that the standard deviation of monthly changes in the price of commodity A is $2. The standard deviation of montly changes in a futures price for a contract on commodity B (which is similar to commodity A) is $3, The correlation between futures price and the commodity price is 0.9. What hedge ratio should be uses when hedging a one month exposure to the price of commodity A?

Request for Solution File

Ask an Expert for Answer!!
Risk Management: suppose that the standard deviation of monthly
Reference No:- TGS0502859

Expected delivery within 24 Hours