Managing multiple international risks simultaneously with an optimal hedging model

A risk management model based on portfolio theory which accounts jointly for price, quantity, interest rate and exchange rate risks is developed and applied to cocoa and coffee production and exports in the Ivory Coast. Utilizing commodity and financial futures markets jointly, the results show that a government export agency can reduce risks from 27% to 89% by following a multicommodity hedging program which manages several risks simultaneously. The model and technique developed are applicable to many multiproduct firm and international risk management situations.


Issue Date:
1991-10
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/172797
Published in:
Agricultural Economics: The Journal of the International Association of Agricultural Economists, Volume 06, Issue 1
Page range:
31-47
Total Pages:
18




 Record created 2017-04-01, last modified 2017-08-27

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