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Business, 15.04.2020 20:56 emaliemcfalls1234

Consider an MNC that is exposed to the Taiwan dollar (TWD) and the Egyptian pound (EGP). 25% of the MNC's funds are Taiwan dollars and 75% are pounds. The standard deviation of exchange movements is 7% for Taiwan dollars and 5% for pounds. The correlation coefficient between movements in the value of the Taiwan dollar and the pound is .7.

Based on this information, the standard deviation of this two-currency portfolio is approximately:

a. 5.13%.

b. 2.63%.

c. 4.33%.

d. 5.55%.

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Consider an MNC that is exposed to the Taiwan dollar (TWD) and the Egyptian pound (EGP). 25% of the...

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