Suppose that a client has granted a money manager permission to pursue an ac- tive/immunized combination strategy. Suppose further that the minimum return expected by the client is 9% and that the money manager believes that an achiev- able immunized target return is 4% and the worst possible return from the ac- tively managed portion of the portfolio is 1%. Approximately how much should be allocated to the active component of the portfolio?

AppendixLO1