Imagine you are a provider of portfolio insurance. You are establishing a four-year program. The portfolio you manage is currently worth $70 million, and you promise to provide a minimum return of 0%. The equity portfolio has a standard deviation of 25% per year, and T-bills pay 6.2% per year. Assume for simplicity that the portfolio pays no dividends (or that all dividends are reinvested). What percentage of the portfolio should be placed in bills? Portfolio in bills %. What percentage of the portfolio should be placed in equity? Portfolio in equity %. Calculate the put delta and the amount held in bills if the stock portfolio falls by 3% on the first day of trading? Put delta % Amount held in bills $ million