A pension fund has an average duration of its liabilities equal to 12 years. The fund is looking at 5-year maturity zero-coupon bonds and 16-year maturity zero-coupon bonds to immunize its interest rate

risk. How much of its portfolio should it allocate to the 5-year zero-coupon bonds and 16-year maturity zero-coupon bonds to immunize if there are no other assets funding the plan?

	A.	35%, 65%
	B.	54%, 46%
	C.	45%, 55%
	D.	36%, 64%