Kerkvliet, Joe; Moffett, Michael H. - In: Journal of Financial and Quantitative Analysis 26 (1991) 04, pp. 565-578
This paper derives the optimal hedge of an uncertain (unknown quantity) future foreign currency cash flow. This more general optimal hedge includes the traditional hedge for a certain (known quantity) future foreign currency cash flow as a special case. The optimal hedge is found to be unbounded...