A pension fund has an average duration of its liabilities equal to 18 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?

17.65%

82.35%

22.22%

21.00%