Multi-output firm under price uncertainty
AbstractA closed-form dual representation of the multi-output production problem is developed under CARA and the large exponential family of multivariate price distributions. System-wide response analysis allows an understanding of second moment and risk tolerance effects, and provides insights on distorting subsidies admissible under World Trade Organization agreements. We demonstrate second-order flexibility in the sense that any empirical first and second moments can be imposed. Production complementarity results are identified for a special linearized version of the model. Incentives under the class of elliptically contoured distributions are studied, as are speculation decisions in the presence of futures markets.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economics and Business.
Volume (Year): 58 (2006)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/jeconbus
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