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A global investment risk manager is assessing an investments performance of a $2million portfolio consisting 34% allocation to cash and 66% allocation to Global Healthcare

A global investment risk manager is assessing an investments performance of a $2million portfolio consisting 34% allocation to cash and 66% allocation to Global Healthcare ETF. Suppose that the volatility of the ETF is 16.5%. Calculate the 95% VaR of the investment portfolio.

Hint: before answering the question, think about the volatility of a risk free asset and its correlation with other assets.

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