As a fixed income portfolio manager for a pension fund, your primary goal is to ensure that the fund’s liabilities are met as they come due. You have been tasked with implementing a duration matching strategy to align the duration of the portfolio's assets with the duration of the liabilities.

Explain the concept of duration matching and discuss how it helps in mitigating interest rate risk for the pension fund. Additionally, outline the steps you would take in constructing a portfolio that achieves effective duration matching.