Hedging multiple price and quantity exposures

  • Giaccotto C
  • Hegde S
  • McDermott J
  • 2


    Mendeley users who have this article in their library.
  • 5


    Citations of this article.


We examined the general hedging problem faced by a global portfolio manager or a pure exporting multinational firm. Most hedging models assume that these economic agents hold only a single asset in the spot market and are exposed only to a single source of price–quantity uncertainty. Such models are less relevant to many financial and ex- porting firms that face multiple sources of risk. In this study, we de- veloped a general hedging model that explicitly recognizes that these hedgers are faced with multiple price and quantity uncertainties. Our model takes advantage of the full correlation structure of changes in spot prices, quantities, and forward prices.We performed simulations of the hedging model for a firm with two pairs of price and quantity exposures to demonstrate potential gains in hedging efficiency and effectiveness.

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document


  • Carmelo Giaccotto

  • Shantaram P. Hegde

  • John B. McDermott

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free