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Business, 16.07.2021 17:50 marfeliz5953

You are a provider of portfolio insurance and are establishing a four-year program. The portfolio you manage is currently worth $150 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 7.5% per year. Assume that the portfolio pays no dividends. Required:
a. What percentage of the portfolio should be placed in bills?
b. What percentage of the portfolio should be placed in equity?

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