Business, 02.07.2019 23:40, buggamarshall85
Imagine you are a provider of portfolio insurance. you are establishing a four-year program. the portfolio you manage is currently worth $180 million, and you promise to provide a minimum return of 0%. the equity portfolio has a standard deviation of 25% per year, and t-bills pay 4% per year. assume for simplicity that the portfolio pays no dividends (or that all dividends are reinvested).a-1. what percentage of the portfolio should be placed in bills? (input the value as a positive value. round your answer to 2 decimal places.)a-2. what percentage of the portfolio should be placed in equity? (input the value as a positive value. round your answer to 2 decimal places.)b-1. calculate the put delta and the amount held in bills if the stock portfolio falls by 3% on the first day of trading, before the hedge is in place? (input the value as a positive value. do not round intermediate calculations. round your answers to 2 decimal places.)b-2. what action should the manager take? (enter your answer in millions rounded to 2 decimal the manager must buysell (buy or sell )$ million of (click to select)billsequity (bills or equity) and use the proceeds to (click to select)sellbuy (sell or buy)(click to select)billsequity(bills or equity).
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Imagine you are a provider of portfolio insurance. you are establishing a four-year program. the por...
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