如何計算投資組合中的外匯波動率
Suppose I have a portfolio of 5 assets. Assets 1 and 2 have foreign exchange exposures and therefore foreign exchange volatility. How can I calculate the marginal contribution to the total portfolio volatility from the individual foreign exchange exposures?
How about letting the FX rates remain fixed, and recalculate the portfolio volatility. That seems very obvious - am i missing something?
If a USD based investor owns shares of Toyota Motor in Japan, the variance of USD based returns is approximately equal to the variance of Toyota in yen, plus the variance of USDJPY plus twice the covariance between Toyota and the exchange rate. The last term could be positive or negative; if I had to guess for a big exporter like Toyota it is probably slightly negative.