Imagine you are a provider of portfolio insurance. You are establishing a 4-year program. The portfolio you manage is currently worth $100 million, and you hope to provide a minimum return of 0%. The...

Imagine you are a provider of portfolio insurance. You are establishing a 4-year
program. The portfolio you manage is currently worth $100 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 5% per year (continuously compounded). Assume
for simplicity that the portfolio pays no dividends.