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

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answerhappygod
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Consider an MNC that is exposed to the Taiwan dollar (TWD) and the Egyptian pound (EGP). 25% of the MNC's funds are Taiw

Post by answerhappygod »

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
5% for Taiwan dollars and 10% for pounds. The correlation
coefficient between movements in the value of the Taiwan dollar and
the pound is -0.96. Based on this information, the standard
deviation of this two-currency portfolio is approximately
(answer in 4 decimal places)
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