Suppose that the standard deviation of monthly changes in, Financial Management

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Suppose that the standard deviation of monthly changes in

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

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Financial Management: Suppose that the standard deviation of monthly changes in

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