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A US investor had purchased a condominium in Israel a year ago for ILS 400,000 when the spot rate for the Shekel was $0.32/ILS. She
| A US investor had purchased a condominium in Israel a year ago for ILS 400,000 when the | ||||||
| spot rate for the Shekel was $0.32/ILS. She just sold the condo for ILS 500,000. The exchange rate | ||||||
| today is $0.29/ILS. What rate of return did the investor earn? What portion of | ||||||
| the rate of return is due to exchange rate changes? | ||||||
| What should she have sold the condo for to generate a return of 8% given the current exchange rate? | ||||||
| b. Explain the relationship below. | ||||||
| Var(Ri$) = Var(Ri) + Var(ei) + 2Cov(Ri,ei) + DVar | ||||||
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Fundamentals Of Futures And Options Markets
Authors: John Hull
9th Edition
0134083245, 9780134083247
