IS es ments S Resources Question 20 A pension fund has an average duration of its liabilities equal to 15 years. The fund is looking at 8- year maturity zero-coupon bonds and a perpetual bond with yield to maturity of 4% to immunize its interest rate risk. How much of its portfolio should it allocate to the zero-coupon bonds to immunize if there are no other assets funding the plan? O 61 percent 47 percent 39 percent 4 pts 53 percent

A pension fund has an average duration of its liabilities equal to 15 years, The fund is looking at 8 year maturity zero-coupon bonds and a perpetual bond with yield to maturity of 4% to immunize its interest rate risk. How much of its portfolio should it allocate to the zero-coupon bonds to immunize if there are no other assets funding the plan? 61 percent 47 percent 39 percent 53 percent