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An insurance company has a liability portfolio that it immunized by in- vesting in a portfolio consisting of two assets. The liability portfolio has the

An insurance company has a liability portfolio that it immunized by in- vesting in a portfolio consisting of two assets. The liability portfolio has the following characteristics: Market Value Duration Convexity Liability 180 7 40 1 The asset portfolio has the following characteristics: Market Value Duration Convexity Asset A X 12 140 AssetB Y 6 Z The convexity Z of asset B must be

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