Suppose that the standard deviation of quarterly changes in spot prices of a commodity is...
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Finance
Suppose that the standard deviation of quarterly changes in spot prices of a commodity is $0.57, the standard deviation of quarterly changes in futures prices for the contract to be used in the hedge is $0.86, and the correlation between these two price changes is 0.84.
What is the optimal hedge ratio for a three-month contract, assuming that the hedger applies cross hedging in a static strategy? Enter your answer in decimal form, rounded to three decimal places.
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