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A pension plan will have a cash outflow in 3 years. They can invest in 2 year bonds with a duration of 1.7 years and
A pension plan will have a cash outflow in 3 years. They can invest in 2 year bonds with a duration of 1.7 years and 4 year bonds with a duration of 3.5 years. To immunize the portfolio, the proportion invested in the 4 year bonds should be
A) 0.44
B) 0.28
C) 0.50
D) 0.72
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