If the Minimum-Variance Hedge Ratio Is $- 1$ ,Then Which of the Following Statements Is True?
A)Changes in of the Following

question 17

Multiple Choice

If the minimum-variance hedge ratio is $- 1$ ,then which of the following statements is true?

• A)Changes in spot and futures prices are perfectly negatively correlated.
• B)The standard deviations of spot and futures price changes are the same.
• C)The minimum-variance hedge for a long spot exposure is a short futures exposure of the same size.
• D)All of the above.

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