Efficient market implications for foreign exchange exposure management

Soenen, Luc

doi:10.1007/bf02371844

Cited by 4 publications

(1 citation statement)

References 11 publications

(9 reference statements)

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“…Portfolio theory as developed by Markowitz (1952) and applied to hedging in the futures market by Johnson (960) and Stein (1961) is the basis of the risk management model presented here. Several authors have used the Johnson-Stein framework to show empirical application of futures markets in managing price risk (Peck, 1975), price and quantity risk (Rolfo, 1980;Gemmill, 1985), exchange rate risk (Soenen, 1979) and interest rate risk (Franckle, 1980). Rolfo (1980) and Gemmill (1985) specifically applied their models based on utility maximization to determine optimal hedge ratios for cocoa exporting countries including the Ivory Coast.…”

Section: Hedging Modelmentioning

confidence: 99%

Managing multiple international risks simultaneously with an optimal hedging model

Sarassoro¹,

Leuthold

1991

Agricultural Economics

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ABSTRACf 31Sarassoro, a.F. and Leuthold, R.M., 1991. Managing multiple international risks simultaneously with an optimal hedging model. Agric. Econ., 6: 31-47.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 eocoa 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.INTRODUCfION 0169-5150/91/$03.50

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Section: Hedging Modelmentioning

confidence: 99%

Managing multiple international risks simultaneously with an optimal hedging model

Sarassoro¹,

Leuthold

1991

Agricultural Economics

View full text Add to dashboard Cite

show abstract

Managing multiple international risks simultaneously with an optimal hedging model

Sarassoro

Leuthold

1991

Agricultural Economics

View full text Add to dashboard Cite

ABSTRACf 31Sarassoro, a.F. and Leuthold, R.M., 1991. Managing multiple international risks simultaneously with an optimal hedging model. Agric. Econ., 6: 31-47. 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 eocoa 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.INTRODUCfION 0169-5150/91/$03.50

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Cash and Foreign Exchange Management: Theory and Corporate Practice In Three Countries

Soenen¹,

Aggarwal²

1989

Business Fin & Account

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Efficient market implications for foreign exchange exposure management

Cited by 4 publications

References 11 publications

Managing multiple international risks simultaneously with an optimal hedging model

Managing multiple international risks simultaneously with an optimal hedging model

Managing multiple international risks simultaneously with an optimal hedging model

Cash and Foreign Exchange Management: Theory and Corporate Practice In Three Countries

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