A standard result in the theory of production under price risk is that if forward cover is available, production is determined in terms of the known, quoted forward or futures price, rather than expectations of future prices. In practice, however, primary production often involves joint or...

We consider in this paper the problem of allocation by an investor of his funds between a set of risky assets and a single safe asset, under conditions in which the separation theorem holds. Focussing in particular on the computationally more difficult case where no short sales are permitted, we...

Conventional (or Fisher-Weil) duration is an ordinary derivative that measures the response of portfolio value to marginal parallel shifts in the term structure, while other proposed measures are generally specific to particular interest rate processes. In this paper, we show that portfolio...