A pension fund has an average duration of its liabilities equal to 13 years. The fund is looking at 6-year maturity zero

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answerhappygod
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A pension fund has an average duration of its liabilities equal to 13 years. The fund is looking at 6-year maturity zero

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A pension fund has an average duration of its liabilities equal
to 13 years. The fund is looking at 6-year maturity zero-coupon
bonds and 4% yield perpetuities to immunize its interest rate risk.
How much of its portfolio should it allocate to the zero-coupon
bonds to immunize if there are no other assets funding the
plan?
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