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Question 9: The following table gives data on monthly changes in the spot price and the futures price for a certain commodity. Use the data to calculate a minimum variance hedge ratio. Spot Price Change +0.50 +0.61 -0.22 -0.35 +0.79 Futures Price +0.56 +0.63 -0.12 -0.44 +0.60 Change -0.51 -0.41 Spot Price Change +0.04 +0.15 +0.70 -0.06 +0.01 +0.80 --0.56 -0.46 Futures Price Change

Question 9: The following table gives data on monthly changes in the spot price and the futures price for a certain commodity. Use the data to calculate a minimum variance hedge ratio. Spot Price Change +0.50 +0.61 -0.22 -0.35 +0.79 Futures Price +0.56 +0.63 -0.12 -0.44 +0.60 Change -0.51 -0.41 Spot Price Change +0.04 +0.15 +0.70 -0.06 +0.01 +0.80 --0.56 -0.46 Futures Price Change

Essentials Of Investments
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
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Question 9: The following table gives data on monthly changes in the spot price and the futures price for a certain commodity. Use the data to calculate a minimum variance hedge ratio. Spot Price Change +0.50 +0.61 -0.22 -0.35 +0.79 Futures Price +0.56 +0.63 -0.12 -0.44 +0.60 Change +0.70 -0.51 -0.41 Spot Price Change +0.04 +0.15 0.06 +0.01 +0.80 -0.56 -0.46 Futures Price Change 7-
Transcribed Image Text:Question 9: The following table gives data on monthly changes in the spot price and the futures price for a certain commodity. Use the data to calculate a minimum variance hedge ratio. Spot Price Change +0.50 +0.61 -0.22 -0.35 +0.79 Futures Price +0.56 +0.63 -0.12 -0.44 +0.60 Change +0.70 -0.51 -0.41 Spot Price Change +0.04 +0.15 0.06 +0.01 +0.80 -0.56 -0.46 Futures Price Change 7-
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