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Investissement en incertitude : extension du problème de la taille optimale d’une usine

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  • Dionne, Georges

    (Centre de recherche sur les transports, Université de Montréal)

  • Pellerin, Marc

    (Ministère des Finances du Québec)

Abstract

In this article, we present a problem of investment under uncertainty. When the managers make investment decisions they do not know the market (sales opportunities); however they know the price and the a priori distribution of sales. We compare the behavior of risk averse firms to that of risk neutral firms. One interesting result in that risk neutral firms are not indifferent to the introduction of risk and to the change in risk. We present many extensions of the initial problem. Two of them are the consideration of market studies and the change of the a priori distribution of sales. Dans cet article, nous présentons un problème de choix d’investissement en incertitude. Au moment de prendre leurs décisions, les administrateurs ne connaissent pas la taille du marché (volume des ventes) mais connaissent le prix de vente du produit et la distribution a priori du niveau des ventes. Nous comparons le comportement des entreprises neutres au risque à celui des entreprises riscophobes. Un résultat intéressant est que les entreprises neutres au risque ne sont pas indifférentes à l’introduction et à la variation du risque. Nous présentons plusieurs extensions au problème initial dont la prise en compte de la valeur d’une étude de marché et le changement de la distribution a priori des ventes.

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Bibliographic Info

Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

Volume (Year): 63 (1987)
Issue (Month): 2 (juin et septembre)
Pages: 256-281

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Handle: RePEc:ris:actuec:v:63:y:1987:i:2:p:256-281

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  1. Leland, Hayne E, 1972. "Theory of the Firm Facing Uncertain Demand," American Economic Review, American Economic Association, vol. 62(3), pages 278-91, June.
  2. Hey, John D, 1985. "Relative Risk Aversion in Comparative Statics: Comment," American Economic Review, American Economic Association, vol. 75(1), pages 284-85, March.
  3. Baron, David P, 1971. "Demand Uncertainty in Imperfect Competition," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(2), pages 196-208, June.
  4. Powell, Warren & Winston, Clifford, 1983. "A numerical investigation of the impact of uncertain demand and varying risk preferences on the pricing and capacity decisions of transportation firms: The case of airlines," Transportation Research Part B: Methodological, Elsevier, vol. 17(6), pages 471-490, December.
  5. Katz, Eliakim, 1985. "Relative Risk Aversion in Comparative Statics: Reply," American Economic Review, American Economic Association, vol. 75(1), pages 286-87, March.
  6. Sandmo, Agnar, 1971. "On the Theory of the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 61(1), pages 65-73, March.
  7. Keeler, Emmett B & Newhouse, Joseph P & Phelps, C E, 1977. "Deductibles and the Demand for Medical Care Services: The Theory of a Consumer Facing a Variable Price Schedule under Uncertainty," Econometrica, Econometric Society, vol. 45(3), pages 641-55, April.
  8. Meyer, Jack & Ormiston, Michael B., 1983. "The comparative statics of cumulative distribution function changes for the class of risk averse agents," Journal of Economic Theory, Elsevier, vol. 31(1), pages 153-169, October.
  9. Briys, Eric & Eeckhoudt, Louis, 1985. "Relative Risk Aversion in Comparative Statics: Comment," American Economic Review, American Economic Association, vol. 75(1), pages 281-83, March.
  10. Dionne, G. & Eeckhoudt, L., 1985. "Increasing Risk and Self-Protection Activities," Cahiers de recherche 8529, Universite de Montreal, Departement de sciences economiques.
  11. Eeckhoudt, L. & Hansen, P., 1984. "Mean-Preserving Changes in Risk with Tail-Dominance," Cahiers de recherche 8413, Universite de Montreal, Departement de sciences economiques.
  12. Eeckhoudt, Louis & Hansen, Pierre, 1983. "Micro-economic applications of marginal changes in risk," European Economic Review, Elsevier, vol. 22(2), pages 167-176, July.
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