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An insurance company must make a payment of $20,000 in 6 years. The market interest rate is 10%. The company's portfolio manager wishes to fund
An insurance company must make a payment of $20,000 in 6 years. The market interest rate is 10%. The company's portfolio manager wishes to fund the obligation using two-year zero-coupon bonds and perpetuities paying annual coupons (We focus on zeros and perpetuities to keep the algebra simple) If the fraction of the asset portfolio invested in the zeru-coupon bonds is called wand with it to immunize the obligation, what's the value of w? 0.4783 OA OB 0.5556 0.8983 OC OD.7987
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