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Suppose the standard deviation of spot price changes is 0.15 and the standard deviation of...

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Finance

Suppose the standard deviation of spot price changes is 0.15 and the standard deviation of the futures price changes is 0.20 and the correlation coefficient between them is 0.67. Compute the variance of apposition hedged by a forward contract on 75 stocks for every 100 stocks in the spot market.

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