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Old 05-02-2010, 09:57 AM
meggoddess meggoddess is offline
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Join Date: May 2010
Location: Nice, France
Posts: 3
Exclamation Optimal Hedge Ratio??

You invest into international stocks. The volatility of the local risk premium is 20%. The volatility of deviations in UIP is 10%. Both risks exhibit a correlation of 0.6%. What is the optimal hedge ratio?
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