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| rev | Admin | (Created page with "You manage a pension fund, and your liabilities consist of two payments as follows: {| class="table table-bordered" ! Time !! Payment |- | 10 Years || $20 million |- | 20 Years || $30 million |} Your assets are $18 million. The term structure is currently flat at 5%. Suppose that you invest the $18 million in 1-year Treasury bills (i.e., 1-year zero-coupon bond) and in a Treasury bond with modified duration of 20. What % of your investments do you allocate to 1 year...") | Dec 5'23 at 0:36 | +968 |