You are a provider of portfolio insurance and are establishing a 4-year program. The portfolio you manage is worth $126 million, and you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 22% per year, and T-bills pay 7% per year. Assume that the portfolio pays no dividends. a-

1. How much should be placed in bills?

a-2. How much in equity?

b-1.What is the delta if the new portfolio falls by 4% on the first day of trading?

b-2: Assume the portfolio does fall by 4%, the manager should (Buy or Sell) XX in stock?

The answers I got for a-2 (101.3168) and both section b (22.2557% and Sell 2.2373 Million stocks) were wrong can you help me understand why?