NO.PZ2020012001000034
问题如下：
The standard deviation of quarterly (three-month) changes in the price of a commodity is 80 cents, and the standard deviation of quarterly changes in the futures price of a related commodity is 90 cents. The correlation between the two changes is 0.81. What is the optimal hedge ratio for a three-month hedge? How should it be interpreted?
选项：
解释：
The optimal hedge ratio is
0.81 *0.80/0.90= 0.72
This the proportion of the exposure that should be hedged.
应该是0.81*90/80
答案是0.81*80/90
