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🦦泡泡。 · 2021年10月02日

这道题0.72是怎么算的

NO.PZ2020012001000035

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.

The amount of the commodity being hedged is 200,000 units, and one futures contract is on 5,000 units of the commodity. How many contracts should be used in hedging? (Round to the nearest whole number.)

解释:

The optimal hedge ratio is 0.72.

The number of contracts is

0.72 *200,000/5,000= 28.8

or 29, when rounded to the nearest whole number.

这道题0.72是怎么算的
1 个答案

DD仔_品职助教 · 2021年10月03日

嗨,努力学习的PZer你好:


同学你好,这个是根据optimal hedge ratio的计算公式算出来的,=0.81*80cent/90cent=0.72

公式如下图,在基础班讲义第145页,S代表基础资产,F代表futures

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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