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Imagine you are a provider of portfolio insurance. You are establishing a 4-year program. The...

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Finance

Imagine you are a provider of portfolio insurance. You are establishing a 4-year program. The portfolio you manage is currently worth $122 million, and you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 19% per year, and T-bills pay 6% per year. Assume for simplicity that the portfolio pays no dividends (or that all dividends are reinvested).

a-1. How much should be placed in bills? (Enter your answer in millions rounded to 2 decimal places.)

a-2. How much in equity? (Enter your answer in millions rounded to 2 decimal places.)

b-1. What is the delta if the new portfolio falls by 6% on the first day of trading? (Negative value should be indicated by a minus sign. Round your answer to 4 decimal places.)

b-2. Complete the following: (Enter your answer in millions rounded to 4 decimal places.)

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