Giaccotto, Carmelo; Hegde, Shantaram P.; McDermott, John B. - In: Journal of Futures Markets 21 (2001) 2, pp. 145-172
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...