A U.S. firm holds an asset in Great Britain and faces the following scenario State 1 25% State 2 50% $ 2.00 / 2,250 S 4,500 State 3 Probability Spot rate 25% 2.50 / 1.60 1,800 S 4,500 f 2,812.50 $ 4,500 where, p* Pound sterling price of the asset held by the U.S. firm P Dollar price of the same asset The "exposure i.e. the regression coefficient beta) is Hint: Calculate the expression What is the beta (i.e. exposure)? Cov(P,S) VAR(S)