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    Derivatives and Risk Management Study Set 2
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    Exam 10: Forward and Futures Hedging,spread,and Target Strategies
  5. Question
    Based on the Price Sensitivity Hedge Ratio,if the Modified Duration
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Based on the Price Sensitivity Hedge Ratio,if the Modified Duration

Question 43

Question 43

True/False

Based on the price sensitivity hedge ratio,if the modified duration of the futures contract increases (assumed to be positive),then the optimal number of futures contracts increases.Assume the durations are positive.

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