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11. The Standard deviation of quarterly changes in the price of a commodity is $0.65, the standard...

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Finance

11. The Standard deviation ofquarterly changes in the price of a commodity is $0.65, thestandard deviation of quarterly changes in a futures price on thecommodity is $0.81, and the coefficient of correlation between thetwo changes is 0.8. The minimum variance hedge ratio for a 3-monthcontract is:

a. 0.642

b. 0.732

c. 0.864

d. 0.997

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