ou are a provider of portfolio insurance and are establishing a 4-year program. The portfolio you manage is worth $100 million, and you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 25% per year, and T-bills pay 5% per year. Assume that the portfolio pays no dividends.

a-1. How much should be placed in bills? (Enter your answer in millions rounded to 2 decimal places.)

a-2. How much in equity? (Enter your answer in millions rounded to 2 decimal places.)

b-1. What is the delta of the new portfolio falls by 3% on the first day of trading? (Negative amount should be indicated by a minus sign. Enter your answer in millions rounded to 4 decimal places.)

b-2. Complete the following: (Enter your answer in millions rounded to 4 decimal places.)

ssuming the portfolio does fall by 3%, the manager should

sell

in stock.