Question: Assuming that the expected yen return on the Nikkei 225 index is 8%, and its volatility is 22%, and the volatility of the euro/yen exchange

Assuming that the expected yen return on the Nikkei 225 index is 8%, and its volatility is 22%, and the volatility of the euro/yen exchange rate is 14%, what is the volatility of the euro return on the Nikkei 225 index if the correlation between the Nikkei index’s return in yen and changes in the euro/yen exchange rate is -0.2?

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