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Your investment bank has an investment of $ 1 0 0 million in the stock of the Swiss Roll Corporation and a short position in
Your investment bank has an investment of $ million in the stock of the Swiss Roll Corporation and a short position in the stock of the Frankfurter Sausage Company. Here is the recent price history of the two stocks:
Percentage price change
Month
Frankfurter Sausage
Swiss Roll
January
February
March
April
May
June
Using the evidence from these six months, how large would your short position in Frankfurter Sausage need to be to hedge as far as possible against movements in the price of Swiss Roll?Your investment bank has an investment of $ million in the stock of the Swiss Roll Corporation and a short position in the stock
of the Frankfurter Sausage Company. Here is the recent price history of the two stocks:
Using the evidence from these six months, how large would your short position in Frankfurter Sausage need to be to hedge as
far as possible against movements in the price of Swiss Roll?
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