Imagine you are a provider of portfolio insurance. You are establishing a 4-year program. The portfolio you manage is currently worth $124 million, and you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 20% per year, and T-bills pay 4% per year. Assume for simplicity that the portfolio pays no dividends (or that all dividends are reinvested).

a-1	How much should be placed in T-bills? (Round your answer to 2 decimal places. Enter your answer in millions. Omit the "$" sign in your response.)

T-bills

$ million

a-2.	How much should be invested in the equity portfolio? (Round your answer to 2 decimal places. Enter your answer in millions. Omit the "$" sign in your response.)

Portfolio in equity

$ million

b-1.	What is the new delta of the portfolio if the portfolio value drops by 2 percent on the first day of trading? (Round your answer to 4 decimal places. Negative amount should be indicated by a minus sign.)

Delta of the portfolio

b-2.	Complete the following (Round your answer to 2 decimal places. Enter your answer in millions. Omit the "$" sign in your response.):

Assuming the portfolio does fall by 2%, the manager should (Choose - buy or sell) $ _______ million in stock.