Using a Linear Regression of Changes in Spot Asset Prices $R ^ { 2 }$

question 10

Multiple Choice

Using a linear regression of changes in spot asset prices on changes in futures asset prices,the minimum-variance hedge ratio may be obtained

• A)As the intercept coefficient in the regression.
• B)As the slope coefficient in the regression.
• C)As the \(R ^ { 2 }\)
• Of the regression.
• D)As the square-root of the variance of the residuals from the regression.

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Definitions:

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