Moore Corporation Would Like to Simultaneously Invest in Malaysian Ringgit

question 30

Multiple Choice

Moore Corporation would like to simultaneously invest in Malaysian ringgit (MYR) and Romanian leu (ROL) for a three-month period. Moore would like to determine the expected yield and the variance of a portfolio consisting of 40 per cent ringgit and 60 per cent leu. Moore has identified the following information: Mean effective financing rate of Malaysian ringgit for three months 3 per cent Mean effective financing rate of Romanian leu for three months 2 per cent Standard deviation of Malaysian ringgit's effective financing rate 0.15 Standard deviation of Romanian leu's effective financing rate 0.07 Correlation coefficient of effective financing rates of these two currencies 0.19 What is the standard deviation of the portfolio contemplated by Moore Corporation?

• A) 0.624%.
• B) 7.950%.
• C) 1.040%.
• D) 10.200%.
• E) None of the above