The geometric average of −19%, 40%, and 45% is _________. 34.18% 22.00% 18.03% 16.50% Some answers...
| The geometric average of −19%, 40%, and 45% is _________. |
34.18%
22.00%
18.03%
16.50%
Some answers said 18.03% and some said 34.18%. i need the right answer 100% please.
|
A pension fund has an average duration of its liabilities equal to 18 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? |
33.33%
26.00%
60.00%
40.00%
which answer 40% or 60%?
Homework Answers
1
Geometric Average = [(1 - 0.19)(1.40)(1.45)]1/3 - 1
Geometric Average = 18.03%
2.
Duration of Zero Coupon Bond = 6
Duration of Perpetuity = 1.04/0.04 = 26
18 = 6w + 26(1 - w)
w = 40%
Add Answer to:
The geometric average of −19%, 40%, and 45% is _________.
34.18%
22.00%
18.03%
16.50%
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