Your investment bank has an investment of $100 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	−10	−10
February	−10	−5
March	−10	0
April	+10	0
May	+10	+5
June	+10	+10

On the evidence of these six months, how large would your short position in Frankfurter Sausage need to be to hedge you as far as possible against movements in the price of Swiss Roll?

Answer rating: 100% (QA)

100 million in stocks According to the data provided in the table attached in the questi... View the full answer