Question: b Saved Help Save & Exit TB MC Qu. 11-01 (Algo) A pension fund has an average duration... A pension fund has an average duration

b Saved Help Save & Exit TB MC Qu. 11-01 (Algo) A pension fund has an average duration... A pension fund has an average duration of its liabilities equal to 13 years. The fund is looking at 5-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? Multiple Choice 21.00% O 32.82% 38.46%

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