Ch. 11. Managing Bond Portfolios: FINC 3330 In-Class Practice Problems © Hyuna Park ydwoBIs gnilloa ei bnod odt nodw bloiv ni 2sgnedo of svitienperoy o oing bnof! 6. If the pension fund wants to fully fund and immunize its position, what should be the weight of one-year zero coupon bond in the fund's portfolio of the two assets? TOwol :9TOM6 92,48.% Answer: the weight of zero coupon bond noguoy uiznse30 8 200q bnod S 19kpe Tuityrá ion =(iry) 0.1 witIl-||w=1.9526y WlIY 2bnod n es 8P.SS io fioitsub s bns 08 to bloiy s 2sd bnod 18oy-0E AE ei tadw zinioq aized 08 vd =0.9048=90480yli ni ogneda ogainoo i portfolio, price risk and reinvestment rate risk exactly canceel out at a

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