Immunize if there are no other assets funding the plan

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Reference no: EM131871673

You are managing a pension fund whose liabilities have average duration of 16 years. You want to immunize the interest rate risk and are considering 4-year maturity zero-coupon bonds and 5.00% 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: EM131871673

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