The Covariance of the Change in Spot Exchange Rates and the Change

question 123

Multiple Choice

The covariance of the change in spot exchange rates and the change in futures exchange rates is 0.6060,and the variance of the change in futures exchange rates is 0.5050.What is the estimated hedge ratio for this currency?

• A)0.306.
• B)0.694.
• C)1.440.
• D)1.200.

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