Which of the following statements is correct? A) A minimum-variance hedge leads to no hedging when ρ=0 . B) When the minimum variance hedge ratio is one (h*=1), the hedge must be imperfect. C) An...

Which of the following statements is correct?

A) A minimum-variance hedge leads to no hedging when ρ=0 .

B) When the minimum variance hedge ratio is one (h*=1), the hedge must be imperfect.

C) An imperfect hedge always leads to a worse outcome (i.e. lower gain or higher loss) than a perfect hedge.

D) When there is no basis risk, the minimum variance hedge ratio is greater or less than one (h*>1 or h*<>