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An insurance company has liabilities with a duration of 7.2 years. The insurance company wants to immunize its position with 3-year zero-coupon bonds and perpetuities.

An insurance company has liabilities with a duration of 7.2 years. The insurance company wants to immunize its position with 3-year zero-coupon bonds and perpetuities. The market interest rate is 8%. What portion of the company's portfolio should be allocated to the zero-coupon bonds?

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