Suppose that a portfolio is worth $60 million and the S&P 500 is at 1,200. If the value

Chapter 17, Problem 17.16

(choose chapter or problem)

Suppose that a portfolio is worth $60 million and the S&P 500 is at 1,200. If the value of the portfolio mirrors the value of the index, what options should be purchased to provide protection against the value of the portfolio falling below $54 million in one years time?

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