Question 3 1 pts An insurance company is due to pay a policyholder $4 million in 1 year and $8 million in 5 years. The yield curve is a flat 12.48%, which investment is closest an investment that would immunise this liability? Invest $4.8 million in a 2-year zero coupon bond and $3.2 million in a 6 year zero, Invest $9 million in a bond portfolio with a duration of 1.899 years Invest $8 million in a bond portfolio with a duration of 3.2 years Invest $4.5 million in a 2-year zero coupon bonds and invest another $4.5 million in 4 year zero coupon bonds. QueSLIUI 1 PLS There are 3 bonds: Bond X: coupon rate = x%, maturity = t years Bond Y: coupon rate = y%, maturity = t years Bond Z: coupon rate = z%, maturity = T years Assume these bonds are issued by the same government and the yield curve is download sloping (note: the downward sloping yield curve is to insure that there is a unique solution - this isn't a trick question). Assuming that y > x > z and T>t> 2, which of the following is correct? Duration of Z > Duration of Y > Duration of X Duration of Y > Duration of X > Duration of Z Duration of X > Duration of Z > Duration of Y Duration of Z> Duration of X > Duration of Y