Create a portfolio with duration

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Reference no: EM131500387

To create a portfolio with a duration of 4 years using a 5-year zero-coupon bond and a 3-year 8% annual coupon bond with a yield to maturity of 10%, one would have to invest ________ of the portfolio value in the zero-coupon bond.

a) 50%

b) 55%

c) 60%

d) 75%

Reference no: EM131500387

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