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Business, 05.05.2020 07:36 werewolf4751

Imagine you are a provider of portfolio insurance. You are establishing a 4-year program. The portfolio you manage is currently worth $128 million, and you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 23% per year, and T-bills pay 8% per year. Assume for simplicity that the portfolio pays no dividends (or that all dividends are reinvested). a-1. How much should be placed in bills?

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