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Abstract

A risk management model based on portfolio theory, which accounts jointly for price, quanitity, interest rate, and exchange rate risks, is developed and applied to cocoa and coffee production and exports in the Ivory Coast. Using commodity and financial futures marlets jointly, the results show that a government export agency can reduce risks for 27 to 86 percent by following a multicommodity hedging programme. The model and technique developed are applicable to many international risk management situations.

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