6) A fund manager has a well-diversified portfolio that mirrors the performance of the S&P 500 and is worth $240 million. The value of the S&P 500 is 4,800, and the portfolio manager would like to obtain insurance against a reduction of more than 3% in the value of the portfolio over the next four months. The risk-free interest rate is 6% per annum. The dividend yield on both the portfolio and the S&P 500 is 4%, and the volatility of the index is 35% per annum. What amount (in dollars) of the portfolio should be sold and kept in risk-free securities for portfolio insurance