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Chapter 2 1 :You are a provider of portfolio insurance and are establishing a 4 - year program. The portfolio you manage is worth $
Chapter :You are a provider of portfolio insurance and are establishing a year program. The
portfolio you manage is worth $ million, and you hope to provide a minimum return
of The equity portfolio has a standard deviation of per year, and Tbills pay
per year. Assume that the portfolio pays no dividends.
Required:
a What is the delta of the implicit put option conveyed by the portfolio insurance?
a How much of the portfolio should be sold and placed in bills?
b What is the delta if the new portfolio falls by on the first day of trading?
b Complete the following:
Answer is complete but not entirely correct.
Complete this question by entering your answers in the tabs below.
Req A
Req A
What is the delta of the implicit put option conveyed by the portfolio insurance?
Note: Do not round intermediate calculations. Negative amount should be indicated by a min
decimal places.
The put delta is
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