A stock portfolio with a dividend yield of 4% per annum is currently worth $5 million and has a beta of 1.5. An index that pays a dividend yield of 2% per annum has a current value of 1500. The risk free interest rate is 6% per annum continuously compounded. Put index options expiring in six months are available. We are looking to provide insurance against the portfolio falling below $4 million in the next six months.

Question: Assume that the portfolio return with dividends (answer to previous question) is -18%. What is the index return WITHOUT dividends?

The answer is -12%. Please explain how to get this answer. Thank you!