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A pension fund has an average duration of its liabilities equal to 11 years. The fund is looking at 6 year maturity zero coupon bonds

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A pension fund has an average duration of its liabilities equal to 11 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? Enter your answer with four decimals (for example: 0.4624)

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