Managing pension fund whose liabilities

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Reference no: EM131991377

You are managing a pension fund whose liabilities have average duration of 12 years. You want to immunize the interest rate risk and are considering 4-year maturity zero-coupon bonds and 4.00% yield perpetuities. How much of the portfolio should you allocate to the zero-coupon bonds to immunize if there are no other assets funding the plan?

Reference no: EM131991377

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