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6. In managing a pension fund when the balance sheets of the fund consists of bond (present value of the bond) as assets and the

6. In managing a pension fund when the balance sheets of the fund consists of bond (present value of the bond) as assets and the present value of the pension benefit payments as liabilities of $100 million. Assume duration of the liabilities is 15.

State three conditions that should hold using the duration strategy (under A, B, C)

A.

B.

C.

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