Hey all…totally blanking on what section this is in. Process where we compute stnd dev of port w/ currency risk (using .5 as the weights) and compare the result to the portfolio stnd dev w/o currency to try and figure out just how much the currency risk added to the portfolio stnd dev. I think we just subtract the 2 values to say currency added x% stnd dev to the portfolio. Can anyone point me to the reading? Thanks.
page 211 vol 6, los 47
Should be 26 I think. Right after asset allocation.