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You are managing a portfolio of $1 million, your target duration is 12 years, and you can choose from a zero-coupon bond with a maturity

You are managing a portfolio of $1 million, your target duration is 12 years, and you can choose from a zero-coupon bond with a maturity of 5 years and perpetuity, each currently yielding 6.00%. To immunize the interest rate risk, how many percent of zero-coupon bond should you purchase today?

38.41%

43.75%

49.36%

55.00%

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