This paper synthesizes and analyzes some important current and recent contributions to the theory of the firm under uncertainty. In so doing, it examines the production and hedging decisions of the competitive firm under a single source and multiple sources of uncertainty.

We present new stochastic differential equations, that are more general and simpler than the existing Ito-based stochastic differential equations. As an example, we apply our approach to the investment (portfolio) model.

We present a new simple method of estimating stochastic volatility and its volatility. This method is applicable to both cross-sectional and time-series data. Moreover, this method does not require volatility data series.

Without relying on duality theory and the indirect utility function, an estimation method is devised that accommodates both price and output uncertainty. This method enables easy testing for risk neutrality. Moreover, it enables empirical comparative statics results to be derived that can be...

This study is an empirical implementation of Alghalith's methodology. In doing so, it provides empirical comparative statics results for the hedging agents under simultaneous price and output uncertainty.

Using a dynamic (stochastic-factor) portfolio model, we devise a method to estimate the impact of the oil price on the stock market. We apply our approach to the Jamaican financial market. Our result indicates a negative weak relationship between the oil price and the stock index. - Attraverso...

In this paper, we analyze the impacts of joint energy and output prices uncertainties on the inputs demands in a mean-variance framework. We find that an increase in expected output price will surely cause the risk averse firm to increase the inputs’ demand, while an increase in expected...

Purpose – The purpose of this paper is to empirically test dominant theories and assumptions in behavioral finance, using data from the Standard & Poor's 500 index. Design/methodology/approach – The empirical analysis has three parts: to test the assumption of risk aversion; to examine the...

This paper provides a methodology that allows estimation and comparative statics analysis in the presence of two correlated uncertainties: energy price uncertainty and manufacturing price uncertainty. In so doing, we show the impact of the correlation between oil price shocks and manufacturing...

A major obstacle in the existing models of forward dynamic utilities and investment performance evaluation is to establish the existence and uniqueness of the optimal solutions. Consequently, we present a new model of forward dynamic utilities. In doing so, we establish the existence and...