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International Risk Management: Optimal Hedging for the Government Export Agency in the Ivory Coast

Author

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  • Sarassoro, Gboroton F.
  • Leuthhold, Raymond M.

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.

Suggested Citation

  • Sarassoro, Gboroton F. & Leuthhold, Raymond M., 1989. "International Risk Management: Optimal Hedging for the Government Export Agency in the Ivory Coast," 1989 Occasional Paper Series No. 5 197722, International Association of Agricultural Economists.
    • Handle: RePEc:ags:iaaeo5:197722
    DOI: 10.22004/ag.econ.197722
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    References listed on IDEAS

    as
    1. Leland L. Johnson, 1960. "The Theory of Hedging and Speculation in Commodity Futures," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 27(3), pages 139-151.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. Anderson, Ronald W & Danthine, Jean-Pierre, 1980. "Hedging and Joint Production: Theory and Illustrations," Journal of Finance, American Finance Association, vol. 35(2), pages 487-498, May.
    4. Rolfo, Jacques, 1980. "Optimal Hedging under Price and Quantity Uncertainty: The Case of a Cocoa Producer," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 100-116, February.
    Full references (including those not matched with items on IDEAS)

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