Multiple Choice
The correlation between changes in price of a spot asset and futures asset is 99%.The standard deviation of changes in spot prices is $2,and that of futures prices is $3.What is the standard deviation of a position that is long 5 units of the spot asset and is hedged by shorting 4 units of futures?
A) 1.5
B) 2.0
C) 2.5
D) 3.0
Correct Answer:
Verified
Correct Answer:
Verified
Q4: The tailed hedge ratio (which takes into
Q5: The tailed minimum-variance hedge ratio becomes lower
Q6: If changes in spot and futures
Q7: Refer again to the data in Question
Q8: Refer again to the data in Question
Q10: Using a linear regression of changes
Q11: "Basis" risk may arise in a hedging
Q12: When the correlation between two assets
Q13: The change in spot prices has
Q14: The tailed hedge ratio becomes lower in