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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 4-year program. The portfolio
you manage is worth $120 million, and you hope to provide a minimum return of 0%. The
equity portfolio has a standard deviation of 18% per year, and T-bills pay 5% per year. Assume
that the portfolio pays no dividends.
Required:
a-1. What is the delta of the implicit put option conveyed by the portfolio insurance?
a-2. How much of the portfolio should be sold and placed in bills?
b-1. What is the delta if the new portfolio falls by 2% on the first day of trading?
b-2. Complete the following:
Answer is complete but not entirely correct.
Complete this question by entering your answers in the tabs below.
Req A1
Req A2
Req B1
How much of the portfolio should be sold and placed in bills?
Note: Do not round intermediate calculations. Enter your answer in millions rounded to 2 decimal pl
\table[[T-bills ,$,120.00,million]]
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