-
+1 - 312-224-1615
Get in touch with us
-
support@helpwithassignment.com
Send us an e-mail
Solution Library
Calculation of Standard Deviation and Variance
Question
The following table gives data on daily changes in the spot price and futures price for a certain commodity:
ΔS +5 +8 -2 +3 -5 +0 -2 +7 +3 +7
ΔF +2 +4 -1 +0 +1 -1 -7 +2 +5 +8
(a) Use the data to calculate a minimum variance hedge ratio for an investor who holds the commodity and plans to sell it soon. Ignore tailing adjustments to account for daily settlement.
(b) Evaluate how well a hedging strategy based on the minimum variance hedge ratio would have worked for each day of the 10-day period covered by the data, i.e. compute the value of your hedge for each of the ten days by adding losses/gains from both the spot and futures positions.
(c) What is the cumulative gain/loss over the 10 days?
(d) What is the daily standard deviation in your gain/losses? (e) What is the daily standard deviation without your hedge?
(f ) What is the daily standard deviation if you use a (not optimal) hedge of 1 short position in the futures?
Summary
The question belongs to Statistics and it is about calculating variance in hedge ratio for an investor. The profit or loss has been calculated along with the standard deviation of profit and loss has also been calculated.
Total Word Count NA
Download Full Solution
WHAT OUR STUDENTS SAY
Had a great help with dynamic SQL programming in Oracle database from HwA and the experts are very helpful. I kept constant touch with HwA during my entire Oracle course and as a professional now, I must admit that I owe a lot to HwA for my success.
Stuart Williamson Student
The tutors at TheReliableTutor.com are experts at taxation laws of multiple countries which makes their research work of very high quality. I am very impressed with the quality of taxation assignment tutoring I received for my assignment help request on capital transfer tax. The tutor assigned to me was aware of all the latest judicial amendments and litigation which made the assignment content that much better. I got a B and now have taken a package for the entire semester.
Monica Fredrickson Student
The course structure in the US is totally different from what I was used to. I was feeling totally bogged down with all the course load and numerous assignments of the different subjects. Thank god for TheReliableTutor and their brilliant Labor Economics Assignment experts I did not need to worry about the assignment once I submitted it to them.
Nikita Tibrewal Student
Structuring the arguments while analyzing the Civil Rights movement in America, for my term paper, was bit of a challenge for me. I was unsure of how to proceed or gather information. Researching and then jotting the entire thing down needed certain help and I got that them from HwA. Here the experts not only helped me pinpoint some topics to write but also did a marvellous job in researching and helping out with the entire assignment. It is needless to say that I received excellent grades from my term paper advisor in college.
Sharon Lynn Student
I got stuck with my supply chain assignment when I looked online for help. HwA was the only Australian site which responded almost instantly. When the solution also reached my email just on the next day, I was thrilled. The answers were correct and became a fan. From there on I kept on taking help from them.
Hannah Waugh Student
Comments
this is a very good website
I have 50 questions for the same test your page is showing only 28
hi can you please help or guide me to answer my assignments. thanks
hi can anyone help or guide me to my assignments. thanks
This solution is perfect ...thanks
Hello Allison,I love the 2nd image that you did! I also, had never heard of SumoPaint, is something that I will have to exolpre a bit! I understand completely the 52 (or so) youtube videos that you probably watched. Sometimes they have what you want, sometimes they don't! However, it is always satisfying when you are able to produce something that you have taught yourself. Great job!Debra 0 likes
Perfect bank of solution.
great !
thanks for the quick response. the solution looks good. :)
thnx for the answer. it was perfect. just the way i wanted it.
works fine.