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How much of portfolio should allocate to the zero coupon

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Question 1: A pension fund has an average duration of liabilities equal to 10 years. The fund is looking at 6-year maturity zero coupon bonds and 6.65% yield perpetuals to immunize its interest rate risk. How much of its portfolio should it allocate to the zero coupon bonds to immunize interest rate risk?

Reference no: EM132859086

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