Pension fund has average duration of its liabilities equal

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A pension fund has an average duration of its liabilities equal to 14 years. The fund is looking at 6-year maturity zero-coupon bonds and 5% 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?

Reference no: EM131319339

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