Cobertura óptima de riesgos de mercado en presencia de riesgos de cantidad y de costos de producción

This paper discusses how to achieve optimal hedging of a cash flow when facing exchange rate risk, price risk of the product the company sells and costs and quantity uncertainty. We present an analytical solution of the optimal hedging strategies when futures on the good produced and on the exchange rate are available. An easy regression-based methodology to obtain the optimal hedging strategies is also proposed. We identify the key parameters affecting this strategy, which are the volatilities of the exchange rate, price, costs and quantity and the correlations among those variables. The methodology developed is applied to the particular case of cellulose Chilean exports.