Business, 21.02.2020 20:20 chgraypto

In this question sigma (sigma) is used to denote the standard deviation of asset or portfolio returns. It is also a measure of volatility. The Japanese stock market has a sigma of 18%, when computed in yen. The U. S. stock market has a sigma of 17% in US$ and the US$/Yen exchange rate has a sigma of 6%. The correlation between the Japanese stock market and US$/Yen currency movements is -0.1. The correlation between the Japanese and U. S. stock market is equal to 0.4, measured either in local currency or in dollars. What is the sigma of the Japanese market when expressed in dollars? Using this number, calculate the sigma (in dollars) of a portfolio made up of 50% of Japanese stocks and 50% of US stocks. Suppose the dollar volatility of the Japanese stock market is 18.97%, what can you conclude about the correlation between the Japanese stock market movements and exchange rate movements? Assume that the domestic volatility (standard deviation in yen) of the Japanese bond market is 8%. The volatility of the yen against the U. S. dollar is 6%. Suppose the dollar volatility of the bond market is 11.35%, what can you conclude about the correlation between the Japanese bond market movements and exchange rate movements? Assume that you have a portfolio made up of 50% of Japanese stocks, 20% of Japanese bonds, and 30% of U. S. stocks. Formulate an expression for the sigma (in dollars) of your portfolio in terms of sigma_JS^2, sigma_USS^2, sigma_JB^2, rho_USS_JS, rho_USS_JB, rho_JS_JB where the subscripts JS, USS and JB denote Japanese stocks, US stocks and Japanese bonds respectively.

Answers: 2

Show answers

Other questions on the subject: Business

Business, 21.06.2019 21:20, sophiaa23

Reqwest llc agrees to sell one hundred servers to social media networks, inc. the servers, which social media networks expressly requires to have certain amounts of memory, are to be shipped “f. o.b. social media networks distribution center in tampa, fl.” when the servers arrive, social media networks rejects them and informs reqwest, claiming that the servers do not conform to social media networks’ memory requirement. a few hours later, the servers are destroyed in a fire at social media networks’ distribution center. will reqwest succeed in a suit against social media networks for the cost of the goods?

Answers: 3

continue

Business, 22.06.2019 06:50, jungcoochie101

On january 1, vermont corporation had 40,000 shares of $10 par value common stock issued and outstanding. all 40,000 shares has been issued in a prior period at $20.00 per share. on february 1, vermont purchased 3,750 shares of treasury stock for $24 per share and later sold the treasury shares for $21 per share on march 1. the journal entry to record the purchase of the treasury shares on february 1 would include a credit to treasury stock for $90,000 debit to treasury stock for $90,000 credit to a gain account for $112,500 debit to a loss account for $112,500

Answers: 3

continue

Business, 22.06.2019 13:40, moneytt2403

Computing equivalent units is especially important for: (a) goods that take a relatively short time to produce, such as plastic bottles. (b) goods with sustainability implications in their production processes. (c) goods that are started and completed during the same period. (d) goods that take a long time to produce, such as airplanes.

Answers: 2

continue

Business, 22.06.2019 19:10, ayoismeisalex

Ancho corp. is an automobile company whose core competency lies in manufacturing petrol- and diesel- based cars. the company realizes that more of its potential customers are switching to electric cars. the r& d department of the company acquires competencies in developing electric cars and launches its first hybrid car, which uses both gas and electricity. in this scenario, ancho is primarilya. leveraging new core competencies to improve current market position. b. redeploying existing core competencies to compete in future markets. c. unlearning existing core competencies to create and compete in markets of the future. d. building new core competencies to protect and extend current market position

Answers: 3

continue

You know the right answer?

In this question sigma (sigma) is used to denote the standard deviation of asset or portfolio return...