Showing 1 - 10 of 17
Dual approaches have proved their value in many areas of economic analysis. Until recently, however, they have been virtually ignored in the analysis of choice under uncertainty.In this paper, we present a dual formulation of choice under uncertainty based on a few simple assumptions about...
Persistent link: https://www.econbiz.de/10010910992
This paper has two goals. First, we demonstrate that standard arguments and methods from production and duality analysis can be used to provide a comprehensive and general treatment of the value of information for a risk-averse firm with expected-utility (linear-in-probabilities) preferences and...
Persistent link: https://www.econbiz.de/10010879321
Quiggin and Chambers have introduced the notion of invariant preferences, and shown that the only invariant expected-utility functionals are those associated with a quadratic utility function. This note identifies the class of preferences which simultaneously satisfy invariance, two-fund...
Persistent link: https://www.econbiz.de/10010879333
In a stochastic decision environment, differences in information can lead rational decision makers facing the same stochastic technology and the same markets to make different production choices. Efficiency and productivity measurement in such a setting can be seriously and systematically biased...
Persistent link: https://www.econbiz.de/10010879342
This paper presents a unified treatment of the production and financial decisions available to a firm facing frictionless financial markets and a stochastic production technology under minimal assumptions on the firm's stochastic technology and objective function. The specific focus is on...
Persistent link: https://www.econbiz.de/10010910962
The broadness of no-arbitrage bounds on asset prices has led to a number of suggestions on how to narrow them. This paper points out that another, apparently unexploited, opportunity exists for narrowing the no-arbitrage bounds, using information on the production technology. The key analytic...
Persistent link: https://www.econbiz.de/10010910964
In this paper, we consider the relationship between supermodularity and risk aversion. We show that supermodularity of the certainty equivalent implies that the certainty equivalent of any random variable is less than its mean. We also derive conditions under which supermodularity of the...
Persistent link: https://www.econbiz.de/10010910970
This paper develops an analytically tractable approach to the comparative statics of output subsidies for firms, with monotonic preferences over costs and returns, that face price and production uncertainty. We derive comparative static results for input demand and output supply
Persistent link: https://www.econbiz.de/10010910971
This paper presents a dual representation of firm-level and market-level equilibrium behavior for a sole proprietorship economy with competitive and frictionless financial markets and stochastic production opportunities in a two-period setting. The dual equilibrium model is used to state...
Persistent link: https://www.econbiz.de/10010910974
In this article, it is shown that a wide range of comparative statics results from expected utility theory can be extended to generalized expected utility models using the tools of supermodularity theory. In particular, a range of concepts of decreasing absolute risk aversion may be formulated...
Persistent link: https://www.econbiz.de/10010910984