1608数学中等derivationmedium
Minimum-Variance Hedge Ratio 1
题目
You hedge X with h units of Y and want to minimize Var(X - hY). If Cov(X, Y) = 8 and Var(Y) = 4, what is the optimal hedge ratio h?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
你的答案
题目
You hedge X with h units of Y and want to minimize Var(X - hY). If Cov(X, Y) = 8 and Var(Y) = 4, what is the optimal hedge ratio h?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
你的答案