9 eBook Saved You are a provider of portfolio insurance and are establishing a 4-year program. The portfolio you manage is worth $132 million, and you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 25% per year, and T-bills pay 6% per year. Assume that the portfolio pays no dividends. a-1. How much should be placed in bills? (Enter your answer in millions rounded to 2 decimal places.) T-bills million Print References a-2. How much in equity? (Enter your answer in millions rounded to 2 decimal places.) Portfolio in equity million b-1. What is the delta if the new portfolio falls by 4% on the first day of trading? (Negative value should be indicated by a minus sign. Enter your answer in millions rounded to 4 decimal places.) Delta of the portfolio b-2. Complete the following: (Enter your answer in millions rounded to 4 decimal places.) Assuming the portfolio does fall by 4%, the manager should sell in stock.
9 eBook Saved You are a provider of portfolio insurance and are establishing a 4-year program. The portfolio you manage is worth $132 million, and you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 25% per year, and T-bills pay 6% per year. Assume that the portfolio pays no dividends. a-1. How much should be placed in bills? (Enter your answer in millions rounded to 2 decimal places.) T-bills million Print References a-2. How much in equity? (Enter your answer in millions rounded to 2 decimal places.) Portfolio in equity million b-1. What is the delta if the new portfolio falls by 4% on the first day of trading? (Negative value should be indicated by a minus sign. Enter your answer in millions rounded to 4 decimal places.) Delta of the portfolio b-2. Complete the following: (Enter your answer in millions rounded to 4 decimal places.) Assuming the portfolio does fall by 4%, the manager should sell in stock.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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You are a provider of portfolio insurance and are establishing a 4-year program. The portfolio you manage is worth $132 million, and
you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 25% per year, and T-bills pay 6% per
year. Assume that the portfolio pays no dividends.
a-1. How much should be placed in bills? (Enter your answer in millions rounded to 2 decimal places.)
T-bills
million
Print
References
a-2. How much in equity? (Enter your answer in millions rounded to 2 decimal places.)
Portfolio in equity
million
b-1. What is the delta if the new portfolio falls by 4% on the first day of trading? (Negative value should be indicated by a minus sign.
Enter your answer in millions rounded to 4 decimal places.)
Delta of the portfolio
b-2. Complete the following: (Enter your answer in millions rounded to 4 decimal places.)
Assuming the portfolio does fall by 4%, the manager should
sell
in stock.
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