Suppose the correlation between the stock yen returns of Toyota and the USD/JPY exchange rate is 0.6.
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Suppose the correlation between the stock yen returns of Toyota and the USD/JPY exchange rate is 0.6. The standard deviation of the USD/JPY is 20% and the standard deviation of Toyota's stock yen returns are 30%. What is the standard deviation of Toyota's stock returns expressed in US dollars?
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Data Analysis and Decision Making
ISBN: 978-0538476126
4th edition
Authors: Christian Albright, Wayne Winston, Christopher Zappe
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