Question
A pension fund has an average duration of its liabilities equal to 16 years. The fund is looking at 6-year maturity zero-coupon bonds and 4%
A pension fund has an average duration of its liabilities equal to 16 years. The fund is looking at 6-year maturity zero-coupon bonds and 4% yield 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?
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An Introduction to Investment Banks, Hedge Funds, and Private Equity
Authors: David P. Stowell
1st edition
978-0123745033, 0123745039, 978-9380931074
