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Price uncertainty in linear production situations

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Author Info
Suijs, J. (Tilburg University, Center for Economic Research)
Abstract

This paper analyzes linear production situations with price uncertainty, and shows that the corrresponding stochastic linear production games are totally balanced. It also shows that investment funds, where investors pool their individual capital for joint investments in financial assets, fit into this framework. For this subclass, the paper provides a procedure to construct an optimal investment portfolio. Furthermore it provides necessary and sufficient conditions for the proportional rule to result in a core-allocation.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 91.

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Date of creation: 1999
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Handle: RePEc:dgr:kubcen:199991

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Find related papers by JEL classification:
C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games

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  1. Sandsmark, Maria, 1999. "Production Games under Uncertainty," Computational Economics, Springer, vol. 14(3), pages 237-53, December. [Downloadable!]
  2. Suijs, Jeroen & De Waegenaere, Anja & Borm, Peter, 1998. "Stochastic cooperative games in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 209-228, July. [Downloadable!] (restricted)
  3. Suijs, Jeroen & Borm, Peter & De Waegenaere, Anja & Tijs, Stef, 1999. "Cooperative games with stochastic payoffs," European Journal of Operational Research, Elsevier, vol. 113(1), pages 193-205, February. [Downloadable!] (restricted)
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  4. Sandsmark, M., 1999. "Production Games under Uncertainty," Norway; Department of Economics, University of Bergen 204, Department of Economics, University of Bergen.
  5. Josep Maria Izquierdo Aznar & Carlos Rafels Pallarola, 1996. "A generalization of the bankruptcy game: financial cooperative games," Working Papers in Economics 9, Universitat de Barcelona. Espai de Recerca en Economia.
  6. Borm, P. & De Waegenaere, A. & Rafels, C., 1999. "Cooperation in capital deposits," Discussion Paper 31, Tilburg University, Center for Economic Research. [Downloadable!]
  7. Suijs, Jeroen & Borm, Peter, 1999. "Stochastic Cooperative Games: Superadditivity, Convexity, and Certainty Equivalents," Games and Economic Behavior, Elsevier, vol. 27(2), pages 331-345, May. [Downloadable!] (restricted)
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