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A pension fund has an average duration of its liabilities equal to 16 years. The fund is looking at 5-year maturity zero-coupon bonds and 5%

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A pension fund has an average duration of its liabilities equal to 16 years. The fund is looking at 5-year maturity zero-coupon bonds and 5% yleld perpetuities to Immunize its interest rate risk. How much of its portfolio should it allocate to the zero-coupon bonds to Immunize if there are no other assets funding the plan? O 3125% O 32.00% O 21.00% 68.75%

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