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

question 15

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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