An investor's liabilities are given by two lump payments of £3,000 at the end of the first and second years. Two Zero Coupon Bonds (ZCB) each with face value £100 are available on the market; one has...

Extracted text: An investor's liabilities are given by two lump payments of £3,000 at the end of the first and second years. Two Zero Coupon Bonds (ZCB) each with face value £100 are available on the market; one has maturity in 6 months and the other one in 3 years. The annual effective rate is 5%. Construct a portfolio of bonds that satisfies the first two conditions of Redington's immunization theory.