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Consider an investor who has $200,000 to invest in a fixedincome portfolio. She wants the resulting portfolio to be immunized against interest rate risk and
Consider an investor who has $200,000 to invest in a fixedincome portfolio. She wants the resulting portfolio to be immunized against interest rate risk and has decided to achieve this by issuing a 15-year zero coupon bond. She wants to invest 40% of her total investible funds in a 5 -year zero-coupon bond, 40% in a bond with a duration of 5 years, and the remaining investible funds in a coupon bond with a duration of 4 years. How much of the 15 -year zero coupon bond should she issue to achieve this? Assume annual compounding. Note: Her total investible funds is the total amount of money she has to invest after issuing the 15-year zero coupon bond. 154,548.53 76,914.56 94,117.65 238,537.12 56,147.23
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