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 A$1$

Req A$2$

Req B$1$

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

$\backslash$table$[[$T$-$bills $,$$$,120\mathrm{.}00,$million$]]$