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A pension fund has a duration (D) of 20years. In order to immunize its interest rate risk, it wants to invest in a zero-coupon bond

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A pension fund has a duration (D) of 20years. In order to immunize its interest rate risk, it wants to invest in a zero-coupon bond with a 10-year maturity and SX vield perpetuities Assume these are the only assets funding the plan A) What is the duration of the zero? B) What is the duration of the perpetuity? C) What percentage of the portfolio should be invested in zero-coupon bonds

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