You want to immunise a liability occurring in 10 years with two bonds: bond A has a maturity of 2.5 years and duration of 2 years; bond B has a maturity of 12.5 years and duration of 12 years. The weights of the portfolio invested in bond A, respectively B are:

• 120% in A, -20% in B
• 120% in A, -20% in B
• 55% in A, 45% in B
• 55% in A, 45% in B
• I do not want to answer this question
• I do not want to answer this question
• 20% in A, 80% in B
• 20% in A, 80% in B
• 30% in A, 70% in B
• 30% in A, 70% in B
• 25% in A, 75% in B