A Canadian investor holds the British market portfolio.Calculate the variance of the monthly rate of return in Canadian dollar terms,if the variance of the British market return is 2,the variance between the U.S.dollar and the foreign currency is 20,the covariance is -2.34,and the contribution of the cross-product term is 0.06.

Question

Quizplus · Accepted Answer

Var(i,$) = 2 + 20 + (2 × -2.34) + 0.06 = 17.38

A Canadian Investor Holds the British Market Portfolio