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You are a pension fund manager and you need to immunize an annuity of 100,000 USD for the next 3 years. You can only purchase

You are a pension fund manager and you need to immunize an annuity of 100,000 USD for the next 3 years. You can only purchase AAA coupon bonds. The market rates are: 3 years-4%, 2 Years=3%, 1Year=2%. Assume infinite divisibility. Outline the strategy you would adopt and calculate the face values of the purchases that allow to immunize your liabilities.

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