suppose that the standard deviation of monthly, Risk Management

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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?

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Risk Management: suppose that the standard deviation of monthly

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