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You are a provider of portfolio insurance and are establishing a 4 - year program. The portfolio you manage is worth $ 1 2 0
You are a provider of portfolio insurance and are establishing a year program. The portfolio
you manage is worth $ million, and you hope to provide a minimum return of The
equity portfolio has a standard deviation of per year, and Tbills pay per year. Assume
that the portfolio pays no dividends.
Required:
a What is the delta of the implicit put option conveyed by the portfolio insurance?
a How much of the portfolio should be sold and placed in bills?
b What is the delta if the new portfolio falls by on the first day of trading?
b Complete the following:
Answer is complete but not entirely correct.
Complete this question by entering your answers in the tabs below.
Req A
Req A
Req B
How much of the portfolio should be sold and placed in bills?
Note: Do not round intermediate calculations. Enter your answer in millions rounded to decimal pl
tableTbills $million
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