This study purposes to examine how optimal hedging is determined againstthe uncertainty of real revenue when there exist tradable risk of asset price andexchange as well as untradable inflation risk at a time. In particular, wheninflation shows a dynamic relationship between asset price and exchange rate,the real revenue schedule would be nonlinear to risk of asset price andexchange rate. Optimal combination hedge using short futures and long put isrequired to hedge against this nonlinear revenue schedule corresponding toasset price risk or exchange risk. Also a dynamic hedging strategy is analyzedfor a dynamic relationship between inflation, asset price and exchange rate.