Choose the correct statement: A. Beta is the measure of the optimal hedge ratio when hedging using index futures. B. If changes in the spot prices are perfectly positively correlated with the corresponding changes in the futures prices, the optimal hedge ratio is equal to 1. C. Beta measures the number of futures to be shorted when hedging using index futures. D. The perfect hedge is possible even when: (a) the correlation between the spot price changes and the futures price changes is less than 1, and (b) volatility of the changes in future prices is equal to the volatility in the changes in the spot prices.
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