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Business, 12.11.2019 00:31 mszeew

Apension fund has an average duration of its liabilities equal to 15 years. the fund is looking at 5-year maturity zero-coupon bonds and 4% yield perpetuities to immunize its interest rate risk. how much of its portfolio should it allocate to the zero-coupon bonds to immunize if there are no other assets funding the plan?

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