f

1.The standard deviation is evaluated in the context of:

Market

CAPM

SPI

TPI

Confidence Intervals

2

A wide standard deviation implies more risk per unit of expected return.

True

False

3

Foreign Portfolio standard deviations will be less than the squared sum deviations of fs and fx as long as the _________ is _______.

Corr(fx,m)

Corr(fs,m) > -1

Corr(fx,m) > -1

Corr(fs,fx) > -1

Corr(fs,m)

Corr(fs,fx)

4

The description of FP#1 in the Instructions, indicates that Mitsuistock trades on the __________ stock exchange.

5

According to the Instructions, FP#1 is held by a ________(Japanese, American, Malaysian) investor.

6

The description of FP#2 in the Instructions, indicates that Matsui trades on the __________ stock exchange.

7

According to the Instructions, FP#2 is held by a ________ (Japanese, Malaysian or American) investor.

TOTAL RISK

Standard Deviation

8

The correct currency quote expression for the Malaysian investor in Japan, i.e. FP#1, is:

JPY/USD

MYR/USD

JPY/MYR

MYR/JPY

9

Construct the ROPC need for determining the standard deviation of theforeign currency investment, fx#1. Fill in the blanks with the relevant ROPC.

ROPC1 =

ROPC2 =

:

ROPC7 =

ROPC8 =

10

The standard deviation of fx#1 is equal to:

11

The standard deviation of fs#1, i.e. a long position in Matsui Stock, is based on the ROPC. Fill in the blanks with:

ROPC1 =

ROPC2 =

:

ROPC8 =

12

The standard deviation of Matsui stock for the Malaysianinvestor is equal to ______.

13

There is a 99% certainty that the lowest return Matsui will earn over the holding period is a) and the highest b) .

Table 9.2 Total Risk Data tDJY(RM Mitsui in Mitsui inRinggit JPY/USD MYR/USD 0 15-Sep 6290.69314.5345 95.814.2815 1 22-Sep 6,616.14 330.8069 93.15 4.5345 229-Sep 7,070.38 353.5188 90.64 .5161 3 6-0ct6,539.13 326.9563 96.27 4 13-Oct 6,681.58 334.0791 99.32 520-Oct 6,390.70 319.5352 104.73 5.1215 6 27-Oct 6,547.04 327.3519 105.67 4.9909 7 3-Nov 6,613.23 330.6613 103.48 4.6484 8 10-Nov 6714.84 335.742 101.33 4.8979 5.005 4D.il. ".:5:5 4./ Table 9.2 Total Risk Data tDJY(RM Mitsui in Mitsui inRinggit JPY/USD MYR/USD 0 15-Sep 6290.69314.5345 95.814.2815 1 22-Sep 6,616.14 330.8069 93.15 4.5345 229-Sep 7,070.38 353.5188 90.64 .5161 3 6-0ct6,539.13 326.9563 96.27 4 13-Oct 6,681.58 334.0791 99.32 520-Oct 6,390.70 319.5352 104.73 5.1215 6 27-Oct 6,547.04 327.3519 105.67 4.9909 7 3-Nov 6,613.23 330.6613 103.48 4.6484 8 10-Nov 6714.84 335.742 101.33 4.8979 5.005 4D.il. ".:5:5 4./