Cotton Dec Cotton Mar 17 Sell in millions by March 2017= Standard Deviation of Spot price = Standard Deviation of Future price = Correlation= Optimum Ratio for 100% Optimized Optimized Ratio adjusted Total Contracts a Optimum number of contracts (rounded) Volume per Contract Units 50,000 cents per lbs 50,000 cents per lbs 4,000,000 4.000% 3.500% 0.80x 0.914 Price 62.7900 61.9100
Cotton Dec Cotton Mar 17 Sell in millions by March 2017= Standard Deviation of Spot price = Standard Deviation of Future price = Correlation= Optimum Ratio for 100% Optimized Optimized Ratio adjusted Total Contracts a Optimum number of contracts (rounded) Volume per Contract Units 50,000 cents per lbs 50,000 cents per lbs 4,000,000 4.000% 3.500% 0.80x 0.914 Price 62.7900 61.9100
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
A 215.

Transcribed Image Text:2
3
4
56
7
78
8
9
10
11
12
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14
15
16
17
A
Cotton Dec
Cotton Mar 17
B
Sell in millions by March 2017=
Standard Deviation of Spot price =
Standard Deviation of Future price =
Correlation=
Optimum Ratio for 100%
Optimized
Optimized Ratio adjusted
Total Contracts
a Optimum number of contracts (rounded)
C
Volume per
Contract
Units
50,000 cents per lbs
50,000 cents per lbs
4,000,000
4.000%
3.500%
0.80x
D
0.914
E
Price
62.7900
61.9100
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