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Programa óptimo de venta y protección para CODELCO

  • Jaime Batarce
  • Oscar Orellana
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    En el presente trabajo, se investiga y analiza el óptimo arreglo comercial o las posiciones en instrumentos financieros que debe mantener Codelco con su cliente y/o en el mercado. El resultado de la presente investigación, derivado a partir de un programa de optimización en un modelo discreto de dos períodos, es que Codelco debe considerar un convenio comercial con su cliente o agregar posiciones en instrumentos financieros derivados de cobre, lo cual tiene como implicación un comportamiento del riesgo del precio de venta del cobre con su cliente o una transferencia de parte del riesgo al mercado. En efecto, la óptima estrategia de comercialización y, protección se resume en que Codelco debe escribir opciones call sobre su producción futura de cobre. Las intervenciones de Codelco en el mercado de futuros de cobre se explican como posiciones en orden a replicar dinámicamente la opción call corta y no como posiciones aisladas. Codelco puede llevar a cabo una óptima estrategia de comercialización y pro

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    File URL: http://www.econ.uchile.cl/uploads/publicacion/62f6c6c5-a052-4b25-a07f-0637673ccc8b.pdf
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    Article provided by University of Chile, Department of Economics in its journal Estudios de Economia.

    Volume (Year): 25 (1998)
    Issue (Month): 1 Year 1998 (June)
    Pages: 99-131

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    Handle: RePEc:udc:esteco:v:25:y:1998:i:1:p:99-131
    Contact details of provider: Web page: http://www.econ.uchile.cl/

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