Question: What is the detailed solution to this question? A different pension plan calculates a 16-year duration for its expected future obligations. It also calculates that

What is the detailed solution to this question?

A different pension plan calculates a 16-year duration for its expected future

A different pension plan calculates a 16-year duration for its expected future obligations. It also calculates that its obligations have a convexity of 29. You were hired by this pension plan and you want to utilize an immunization strategy for its obligations, which exclusively involves three bonds: E, F and G. You calculated the following information for the three bonds: Bond E F G Duration 9.00 21.00 28.00 Convexity 29.00 35.00 56.00 Use both duration and convexity in your immunization strategy, to determine the weights of investment in each of the three bonds.

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