QUESTION 10 You are the Chief Financial Officer of a pension fund and the duration of your liabilities is 20 years. The total value of your assets matches the total value of your liability (a) Suppose the YTM of zero coupon bonds is 5% for all maturities. If the YTM of all zero coupon bonds increases by 0.25% (25 basis points), what is the approximate percentage change in the present value of your liability (b) As Chief Financial Officer, your task is to invest your assets in a portfolio of 10-year and 25-year zero coupon bonds that will immunize the pension fund against changes in interest rates. What fraction of your portfolio will be held in 10-year zero couporn bonds, and what fraction will be held in 25-year zero coupon bonds? QUESTION 10 You are the Chief Financial Officer of a pension fund and the duration of your liabilities is 20 years. The total value of your assets matches the total value of your liability (a) Suppose the YTM of zero coupon bonds is 5% for all maturities. If the YTM of all zero coupon bonds increases by 0.25% (25 basis points), what is the approximate percentage change in the present value of your liability (b) As Chief Financial Officer, your task is to invest your assets in a portfolio of 10-year and 25-year zero coupon bonds that will immunize the pension fund against changes in interest rates. What fraction of your portfolio will be held in 10-year zero couporn bonds, and what fraction will be held in 25-year zero coupon bonds