Business, 20.08.2020 04:01 emilysambrano2
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).
Required:
a. How much should be placed in T-bills?
b. How much should be invested in the equity portfolio?
c. What is the new delta of the portfolio if the portfolio value drops by 6 percent on the first day of trading?
Answers: 3
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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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