Question
NEED ANSWER IN NEXT 30MIN A global investment risk manager is assessing an investments performance of a $18million portfolio consisting25% allocation to cash and 75%
NEED ANSWER IN NEXT 30MIN
A global investment risk manager is assessing an investments performance of a $18million portfolio consisting25% allocation to cash and 75% allocation to Global Healthcare ETF. Suppose that the volatility of the ETF is 18.75%. 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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Finance Applications and Theory
Authors: Marcia Cornett
4th edition
1259691411, 978-1259691416
