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A bank has $80 million in assets, $75 million in liabilities, and $5million in shareholders' equity. If the duration of its liabilities is 2.8 and

A bank has $80 million in assets, $75 million in liabilities, and $5million in shareholders' equity. If the duration of its liabilities is 2.8 and the bank wants to immunize its net worth against interest rate risk and thus set the duration of equity equal to zero, it should select assets with an average duration of _________.

2.99

2.63

2.76

2.8

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