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2. An investor has liabilities of $5m and $7m due at times t = 2 and 3, respectively. He currently holds assets X and Y.

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2. An investor has liabilities of $5m and $7m due at times t = 2 and 3, respectively. He currently holds assets X and Y. If each unit of X produces an income of $1m at t = 4 and each unit of Y produces $1m at t = 6, construct a portfolio consisting of the liabilities and amounts of X and Y that is immune to small changes in interest rate at i = 6% per annum

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