Question: Calculate the total risk of the foreign portfolio.
a. Write the formula used to determine the volatility of the foreign portfolio.
b. Label and identify the values of each input.
c. Calculate and then bold/highlight the final solution.
| Table 1 |
Global Portfolio Data |
| Date |
Lotos (PLN) |
Lotos (USD) |
Div. |
ROPCL |
USD T-bond (%) |
ROPCb |
FX = zl/$ |
FX = $/zl |
ROPCfx |
ROPCfp |
Joint ROPCgp |
| 15-Sep |
253.74 |
66.27 |
|
|
145.1406 |
|
3.8289 |
0.2612 |
|
|
|
| 22-Sep |
271.43 |
71.03 |
|
|
145.4788 |
|
3.8214 |
0.2617 |
|
|
|
| 29-Sep |
309.08 |
78.01 |
|
|
144.6211 |
|
3.9621 |
0.2524 |
|
|
|
| 6-Oct |
273.64 |
67.92 |
|
|
142.7324 |
|
4.0289 |
0.2482 |
|
|
|
| 13-Oct |
251.2 |
67.27 |
|
|
140.0375 |
|
3.7342 |
0.2678 |
|
|
|
| 20-Oct |
220.57 |
61.02 |
zl3.187 |
|
139.0325 |
|
3.6147 |
0.2766 |
|
|
|
| 27-Oct |
220.99 |
61.96 |
|
|
138.9878 |
|
3.5667 |
0.2804 |
|
|
|
| 3-Nov |
229.65 |
63.91 |
$0.832 |
|
138.4261 |
|
3.5933 |
0.2783 |
|
|
|
| 10-Nov |
271.02 |
64.85 |
|
|
139.9121 |
|
3.6209 |
0.2762 |
|
|
|
|
|
|
|
|
|
|
Pip = 4 |
|
|
|
|
Which one? |
|
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|
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Which one? |
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