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Problem 6: (5 points) You have an investment horizon of 10 years.Which of the following has more interest rate risk? (1) Invest in a 12-year

Problem 6: (5 points)

You have an investment horizon of 10 years.Which of the following has more interest rate risk?

(1) Invest in a 12-year zero and sell it after 10 years.

(2) invest in a 10-year sequence of 1-year zeros (when one 1-year zero matures, roll the money over into the next one-year zero, for 10 years).

Explain your answer.

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