II. Peek-A-Boo Veach, a U.S. citizen, estimates that a diversified portfolio of Norwegian common stocks has a standard deviation of 24%. Peek-A-Boo also estimates that the standard deviation of the U.S. and Norwegian currency return is 7%. Finally, Peek-A-Boo estimates the correlation between the dollar-krone cur-

rency return and the Norwegian stock market return to be 0.20 . Given this information, what should Peek-A-Boo conclude is the standard deviation for a U.S.
investor investing solely in the Norwegian stock market?