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ESTRATEGIAS OPTIMAS DE COBERTURA EN PRESENCIA DE INCERTIDUMBRE EN COSTOS Y CANTIDAD

Augusto Castillo R. () and Rafael Águila
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Augusto Castillo R.: Escuela de Administración, Pontificia Universidad Católica de Chile

Abante, 2005, vol. 8, issue 2, 88-110

Abstract: This paper discusses how to achieve the optimal hedging of a cash flow when facing price risk of the product the company sells, when we are also in the presence of cost and quantity uncertainty. We present an analytical solution to the optimal hedging strategy in the general case and in some particular situations. We also obtain an expression to measure the efficiency of this hedging strategy. We identify the key parameters affecting the optimal hedging strategy, which are the volatilities of the random variables considered and the correlation coefficients among them. Finally we figure out how those parameters affect the optimal hedging strategy when the random variables present log normal distributions.

Keywords: Hedging; Quantity Uncertainty; Chile (search for similar items in EconPapers)
JEL-codes: C15 C61 D81 (search for similar items in EconPapers)
Date: 2005
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