Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

A U.S. firm Biqing, Inc., expects to receive substantial payments in Indonesian rupiah and Thai baht in 1 month. Based on todays spot rates, the

A U.S. firm Biqing, Inc., expects to receive substantial payments in Indonesian rupiah and Thai baht in 1 month. Based on todays spot rates, the dollar value of the funds to be received is estimated at $700,000 for the rupiah and $300,000 for the baht. Thus Biqing is exposed to a currency portfolio weighted 70% in rupiah and 30 % in baht. Based on data for the last 20 months, it estimates the standard deviation of monthly % changes to be 10% for the rupiah and 8% for the baht, and a correlation coefficient of 0.6 between the rupiah and baht. What is the portfolios standard deviation?

a. 8.656%

b. 7.921%

c. 7.002%

d. 8.189%

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Inside Company Valuation

Authors: Angelo Corelli

1st Edition

3319537822, 9783319537825

More Books

Students also viewed these Finance questions