某公司将在6个月后购买3000吨铜，该公司测算出6个月内现货铜的价格变动标准差σS=0.025，6个月内伦敦期货铜价格变动的标准差σF=0.031，6个月内现货铜的价格变动与6月内期货铜价格变动的相关系数ρ=0.65，则该公司的最小方差对冲比率为（　　）。 -题库考试答案搜索网

某公司将在6个月后购买3000吨铜，该公司测算出6个月内现货铜的价格变动标准差σ_S=0.025，6个月内伦敦期货铜价格变动的标准差σ_F=0.031，6个月内现货铜的价格变动与6月内期货铜价格变动的相关系数ρ=0.65，则该公司的最小方差对冲比率为（　　）。

单选题

2021-07-17 20:54

A、0.52
B、0.62
C、0.72
D、0.82

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正确答案

A

试题解析

标签：财会金融类期货投资分析师期货基础知识期货法律法规期货投资分析 2014年5月期货从业资格考试《期货投资分析》题库【历年真题（视频讲解）＋章节题库＋考前押题】第8章　期货投资策略及风险控制

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