A pension fund has an average duration of its liabilities equal to 17 years. The fund is looking at 6-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?

A.) 35.29%

B.) 73.33%

C.) 21.00%

D.) 26.67%