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A pension 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?

a) 52

b) 48

c) 33

d) 25

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92309084

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