Business, 05.05.2020 22:24 princessx7543

Imagine you are a provider of portfolio insurance. You are establishing a 4-year program. The portfolio you manage is currently worth $115 million, and you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 28% per year, and T-bills pay 3% 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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Imagine you are a provider of portfolio insurance. You are establishing a 4-year program. The portfo...

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