ADM Inc. is a U.S.-based exporting firm that expects to receive payments denominated in both euros and Canadian dollars

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ADM Inc. is a U.S.-based exporting firm that expects to receive
payments denominated in both euros and Canadian dollars in one
month. Based on today's spot rates, the dollar value of the funds
to be received is estimated at $600,000 for the euros and $400,000
for the Canadian dollars. Based on data for the last fifty months,
Volusia estimates the standard deviation of monthly percentage
changes to be 8 percent for the euro and 3 percent for the Canadian
dollar. The correlation coefficient between the euro and the
Canadian dollar is 0.30. 41) a) What is the portfolio standard
deviation? 4B)2) b) Assuming an expected percentage change of 5
percent for each currency during the next month, what is the
maximum one-month loss of the currency portfolio? Use a 95 percent
confidence level and assume the monthly percentage changes for each
currency are normally distributed.
a. 4.26,-3.36 b. -5.29%,-5.36% c. None of the above d.
-5.44%,-4%