An investor wishes to immunize his portfolio. He has liabilities of 2000 payable at both times 2 and 6, and he uses two assets: 1055.05 at time 1, and 2935.62 at time 5. The annual effective interest rate is 16%. Which of the following statements is true?

a.The portfolio is not immunised due to a present value mis-match.

b.The portfolio is Redington immunised and fully immunised.

c.The portfolio is not immunised due to the convexity relationship.

d.The portfolio is Redington immunised, but not fully immunised.

e.The portfolio is fully immunised, but not Redington immunised.