How much should be placed in bills

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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).

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

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

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.)

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

Assuming the portfolio does fall by 6%, the manager should sell_________ in stock.

Reference no: EM132484087

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