You Are A Provider Of Portfolio Insurance And Are Establishing A Four Year Program The Portfolio You Manage Currently W 1 (33.71 KiB) Viewed 29 times
You are a provider of portfolio insurance and are establishing a four-year program. The portfolio you manage currently worth $190 million, and you promise to provide a minimum return of 0%. The equity portfolio has a standard deviation of 25% per year, and T-bills pay 5.5% per year. Assume that the portfolio pays no dividends. Required: a-1. How much of the portfolio should be sold and placed in bills? (Input the value as a positive value. Do not round intermediate calculations and round your final percentage answer to 2 decimal places.) X Answer is complete but not entirely correct. Portfolio in bills 2.61 X % a-2. How much of the portfolio should be sold and placed in equity? (Input the value as a positive value. Do not round intermediate calculations and round your final percentage answer to 2 decimal places.) > Answer is complete but not entirely correct. Portfolio in equity 0.00 %
b-1. Calculate the put delta and the amount held in bills the stock portfolio falls by 3% on the first day of trading, before the hedge is in place? (Input the value as a positive value. Do not round intermediate calculations. Round your answers to 2 decimal places.) Put delta Amount held in bills Answer is not complete. The manager must 5.00 b-2. What action should the manager take? (Enter your answer in millions rounded to 2 decimal places. Do not round intermediate calculations.) sell % million $ 4,750.00 Answer is complete but not entirely correct. million of equity ✔and use the proceeds to buy bills
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