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
Q16: You are hedging a spot position with
Q17: The correlation between changes in price of
Q18: Refer again to the data in Question
Q19: The tailed hedge ratio (which takes into
Q20: Refer again to the data in Question
Q21: The change in spot prices has
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Q23: The correlation between changes in price of
Q25: If changes in spot and futures
Q26: Refer again to the data in Question