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Question 3 a) Suppose that a portfolio is worth $50 millions and the S&P 500 is at 1000. The portfolio has a beta of 4.0,

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Question 3 a) Suppose that a portfolio is worth $50 millions and the S&P 500 is at 1000. The portfolio has a beta of 4.0, the risk-free interest rate is 8% per annum, and the dividend yield on both the portfolio and the index is 2% per annum. What options should be purchased to provide protection against the value of the portfolio falling below 45 million in one year's time? (Total Marks: 15)

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