Question
A multinational corporation is expecting cash flows in two currencies, X and Y. The standard deviation of monthly percentage changes in X is 16% and
If 40% of portfolio value is denominated in currency X and 60% in Y, what is the standard deviation of the portfolio?
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Standard Deviation SD of portfolio is given by equation SDx2 Wx2 SDy2 Wy2 2 ...Get Instant Access to Expert-Tailored Solutions
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Statistics For Business Decision Making And Analysis
Authors: Robert A. Stine, Dean Foster
3rd Edition
134497163, 978-0134497167
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