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A pension fund has an average duration of its liabilities equal to 1 5 years. The fund is looking at 5 - year maturity zero

A pension fund has an average duration of its liabilities equal to

15

years. The fund is looking at

5 -

year maturity zero

-

coupon bonds and

4 %

yield perpetuities to immunize its interest rate risk. Construct its portfolio to immunize its interest rate risk if there are no other assets funding the plan.

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