Managing multiple international risks simultaneously with an optimal hedging model
基于投资组合理论构建了一个同时管理价格、数量、利率和汇率风险的对冲模型，应用于科特迪瓦的可可和咖啡生产出口，发现政府出口机构通过多商品对冲计划可降低27%至89%的风险。
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.