f55 Ch 15 Solutions International Portfolio Problems

f55 Ch 15 Solutions International Portfolio Problems - In...

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In Class Exercise # 1: Chapter 15 Use the following information on British Air stocks, bonds and the British pound during the 2002-2003 period: 1/1/2002 1/1/2003 Div /Coupon British Air stock price level (in British pounds) BP 78.75 BP 95.67 BP 1.50 British Air bond price level (in British pounds) BP 950 BP 920 BP 95.00 Dollar price of British pounds $ 1.75 $ 1.60 Standard deviation of the percentage change in the returns (in BP) on British Air stock during the 2002-2003 period: 22.50% Standard deviation of the percentage change in the returns (in BP) on British Air bonds during the 2002-2003 period: 8.25% Standard deviation of the percentage change in the dollar price of British pounds during the 2002-2003 period: 17.00% Correlation coefficient between the returns on the British Air stocks and the British pound 0.31 Correlation coefficient between the returns on the British Air bonds and the British pound 0.52 a) Calculate the percentage return over the 2002-2003 period, in US dollar terms
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This note was uploaded on 04/15/2011 for the course FINA 5500 taught by Professor Staff during the Spring '08 term at North Texas.

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f55 Ch 15 Solutions International Portfolio Problems - In...

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