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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 0 2

You are a provider of portfolio insurance and are establishing a 4-year program. The portfolio you manage is worth $102 million, and you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 20% per year, and T-bills pay 6% 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 7% on the first day of trading?
b-2. Complete the following:

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