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Consider an MNC that is exposed to the Sri Lankan Rupee (Rs) and the Myanmar Kyat (MMK). 40% of the MNC's funds are Sri Lankan
Consider an MNC that is exposed to the Sri Lankan Rupee (Rs) and the Myanmar Kyat (MMK). 40% of the MNC's funds are Sri Lankan Rupees and rest are Myanmar Kyats. The standard deviation of exchange movements is 3.5% for Rupees and 11% for pounds. The correlation coefficient between movements in the value of the Taiwan dollar and the pound is .19. Based on this information, the standard deviation of this two-currency portfolio is approximately: A. 12.84 %. B. 7.71 %. C. 7.00 %. D. 5.55 %. E. 3.23 %.
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