The Tailed Minimum-Variance Hedge Ratio Becomes Lower in Comparison to the Untailed

question 5

Multiple Choice

The tailed minimum-variance hedge ratio becomes lower in comparison to the untailed one when

• A)Nominal interest rates rise and hedge maturity increases.
• B)Real interest rates rise and hedge maturity decreases.
• C)Nominal Interest rates fall and hedge maturity increases.
• D)Real interest rates fall and hedge maturity decreases.

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