Consider again the situation in Problem 14.21. Suppose that the portfolio has a beta of 2.0, that
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Consider again the situation in Problem 14.21. Suppose that the portfolio has a beta of 2.0, that the risk-free interest rate is 5% per annum, and that the dividend yield on both the portfolio and the index is 3% per annum. What options should be purchased to provide protection against the value of the portfolio falling below $54 million in 1 year's time?
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