Abc wishes to immunize the portfolio from interest rate, Ask an Expert

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ABC wishes to immunize the portfolio from interest rate risk. The assets are $24,000,000 with a "duration" of 10 years; there is $16,000,000 in liabilities. You have 2 liability choices of: 1) a zero coupon bond yielding 6% and a maturity of 14 years and 2) a 199 year bond yielding 6.67%. How much would you recommend for each type of liability?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92174162

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