A multinational corporation is expecting cash flows in two currencies, X and Y. The standard deviation of

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A multinational corporation is expecting cash flows in two currencies, X and Y. The standard deviation of monthly percentage changes in X is 16% and in Y it is 7%. Their correlation is 0.32.

If 40% of portfolio value is denominated in currency X and 60% in Y, what is the standard deviation of the portfolio?

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Statistics For Business Decision Making And Analysis

ISBN: 9780134497167

3rd Edition

Authors: Robert A. Stine, Dean Foster

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Posted Date: Dec 05, 2023 01:58 AM

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A multinational corporation is expecting cash flows in two currencies, X and Y. The standard deviation of

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Standard Deviation SD of portfolio is given by equation SDx2 Wx2 SDy2 Wy2 2 ... View the full answer

Statistics For Business Decision Making And Analysis

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