Imagine you are a provider of portfolio insurance. You are establishing a four-year program. The portfolio you manage is currently worth $120 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 4.8% per year. Assume for simplicity that the portfolio pays no dividends (or that all dividends are reinvested).

a-1.What percentage of the portfolio should be placed in bills?(Input the value as a positive value. Round your answer to 2 decimal places.)

Portfolio in bill = %

a-2.What percentage of the portfolio should be placed in equity?(Input the value as a positive value.Round your answer to 2 decimal places.)

Portfolio in equity = %

b-1.Calculate the put delta and the amount held in bills if the stock portfolio falls by 3% on the first day of trading, before the hedge is in place?(Input the value as a positive value. Do not round intermediate calculations. Round your answers to 2 decimal places.)

Put delta = %

Amount held in bills = million

b-2.What action should the manager take?(Enter your answer in millions rounded to 2 decimal places.)

The manager must sell ___________ million of equity and use the process to buy bills