Question: Suppose the correlation between the stock returns expressed in British Pounds of Rio Tinto and the USD/GBP exchange rate is -0.25. The standard deviation of

Suppose the correlation between the stock returns expressed in British Pounds of Rio Tinto and the USD/GBP exchange rate is -0.25. The standard deviation of the USD/GBP is 10% and the standard deviation of Rio Tinto's stock returns in British Pounds are 15%. What is the standard deviation of Rio Tinto's stock returns expressed in U.S. dollars?

A) 2.52%

B) 6.25%

C) 15.81%

D) 20%

Please show your work! Thanks.

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