You live in a world that has only two assets from which to choose to immunize a portfolio They are one year zero STRIP zero coupon bonds, and investment grade bonds with a duration of 9 0 years If you have a liability portfolio with duration 5 125 years has a present value of $3 million, what percentage of your portfolio will be invested in the zero coupon bonds

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Question: You live in a world that has only two assets from which to choose to immunize a portfolio. They are: one-year zero STRIP zero coupon

You live in a world that has only two assets from which to choose to immunize a portfolio. They are:

one-year zero STRIP zero coupon bonds, and;
investment grade bonds with a duration of 9.0 years.

If you have a liability portfolio with duration = 5.125 years has a present value of $3 million, what percentage of your portfolio will be invested in the zero coupon bonds?

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