NO.PZ201601050100000202
问题如下：
2. Based on Ostermann‘s correlation forecast, the expected domestic-currency return (measured in EUR terms) on USD-denominated assets will most likely:
选项：
A. increase.
B. decrease.
C. remain unchanged.
解释：
C is correct.
An increase in the expected correlation between movements in the foreign-currency asset returns and movements in the spot exchange rates from 0.50 to 0.80 would increase the domestic-currency return risk but would not change the level of expected domestic-currency return. The domestic-currency return risk is a function of the foreign-currency return risk [σ(RFC)] the exchange rate risk [σ(RFX)] and the correlation between the foreign-currency returns and exchange rate movements. Mathematically, this is expressed as:
If the correlation increases from +0.50 to +0.80, then the variance of the expected domestic-currency return will increase—but this will not affect the level of the expected domestic-currency return (RDC). Refer to the equation shown for the answer in Question 1 and note that Ostermann's expected RFC has not changed. (Once again, note as well that RFX is defined with the domestic currency as the price currency.)
A and B are incorrect. An increase in the expected correlation between movements in the foreign-currency asset returns and movements in the spot rates from 0.50 to 0.80 would increase the domestic-currency return risk but would not impact the expected domestic-currency return.
中文解析：
问题问的是当相关性ρ（Rfc,Rfx）变大的时候，Rdc是如何变化的。
根据 Rdc=Rfc+Rfx+Rfc*Rfx公式，可知相关系数并不影响Rdc, 所以选择C。
和题目标题问题一致，因为按照exhibit 1 结合的方式，答案选了B
