A pension fund has an average duration of its liabilities equal to 13 years. The fund is looking at 4-year maturity zero-coupon bonds and 5% 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?

Questlon 1 (of 80) 1 A pension fund has an average duration of its liabilities equal to 13 years. The fund is looking at 4-year maturity zero-coupon bonds and 5% 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? O 21.00% O 47.06% O 52.94% O 30.77%