Multiple Choice
A pension fund has an average duration of its liabilities equal to 15 years. The fund is looking at 5-year maturity zero coupon bonds and 4% yield perpetuities to immunise its interest rate risk. How much of its portfolio should it allocate to the zero coupon bonds to immunise if there are no other assets funding the plan?
A) 52%
B) 48%
C) 33%
D) 25%
Correct Answer:
Verified
Correct Answer:
Verified
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