Your fund sells portfolio insurance. In other terms, it guarantees at maturity T=2 years that you will recover at least the intial value of the portfolio. The value Y of the portfolio is modelled as geometric Brownian motion: YdY=dt+dW with Y(0)=$1M. We have =0.08,=15%,r=4%. You are asked to hedge (in full) the insurance on the portfolio by taking positions in the portfolio and in the money market account. Suppose that the portfolio takes value (in millions of \$) given in the following table. What fraction of the portfolio and quantity of the money market account will you need to hedge the insurance? In other terms. complete the following table. Your fund sells portfolio insurance. In other terms, it guarantees at maturity T=2 years that you will recover at least the intial value of the portfolio. The value Y of the portfolio is modelled as geometric Brownian motion: YdY=dt+dW with Y(0)=$1M. We have =0.08,=15%,r=4%. You are asked to hedge (in full) the insurance on the portfolio by taking positions in the portfolio and in the money market account. Suppose that the portfolio takes value (in millions of \$) given in the following table. What fraction of the portfolio and quantity of the money market account will you need to hedge the insurance? In other terms. complete the following table