a) Calculate the portfolio standard deviation for the portfolio containing two currency exchange pairs; JPYUSD and...
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a) Calculate the portfolio standard deviation for the portfolio containing two currency exchange pairs; JPYUSD and CHFUSD. JPYUSD is represented for 24% in the portfolio and has a standard deviation of 6.78% while CHFUSD is represented for 76% in the portfolio and has a standard deviation of 5.54%. Their correlation coefficient is - 22.56%. (10 points) b) What do you notice about the portfolio standard deviation? What is the reason behind this particular result? (10 points) c) What would happen to portfolio standard deviation if the asset weights in the portfolio were swapped; i.e., CHFUSD would now be represented for 24% instead of 76%. (5 points) Edit View Insert Format 12pt Paragraph Tools Table BIU A V T T2 : a) Calculate the portfolio standard deviation for the portfolio containing two currency exchange pairs; JPYUSD and CHFUSD. JPYUSD is represented for 24% in the portfolio and has a standard deviation of 6.78% while CHFUSD is represented for 76% in the portfolio and has a standard deviation of 5.54%. Their correlation coefficient is - 22.56%. (10 points) b) What do you notice about the portfolio standard deviation? What is the reason behind this particular result? (10 points) c) What would happen to portfolio standard deviation if the asset weights in the portfolio were swapped; i.e., CHFUSD would now be represented for 24% instead of 76%. (5 points) Edit View Insert Format 12pt Paragraph Tools Table BIU A V T T2 :
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