Question
Consider an MNC that is exposed to the Indian Rupee (R) and the Mexican Peso (P). Assume 40% of the MNCs funds are in Rupees
Consider an MNC that is exposed to the Indian Rupee (R) and the Mexican Peso (P). Assume 40% of the MNCs funds are in Rupees and 60% are in Pesos. The standard deviation of exchange movements is 10% for R and 15% for P. The correlation coefficient between the Rupee and the Peso is 0.45. Based on this information, compute the standard deviation of this portfolio of funds.
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The Ascendancy Of Finance
Authors: Joseph Vogl, Simon Garnett
1st Edition
1509509305, 978-1509509300
