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A pension fund has an average duration of its liabilities equal to 16 years. The fund is looking at 4-year maturity zero-coupon bonds and 5%

A pension fund has an average duration of its liabilities equal to 16 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?

	21.00%
	25.00%
	70.59%
	29.41%

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