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Price Uncertainty in Linear Production Situations

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  • Suijs, J.P.M.

    (Tilburg University, Center for Economic Research)

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    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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    Bibliographic Info

    Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1999-91.

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

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    Web page: http://center.uvt.nl

    Related research

    Keywords: linear production; stochastic cooperative games; investment funds;

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    References

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    1. Suijs, J.P.M. & Borm, P.E.M., 1999. "Stochastic cooperative games: Superadditivity, convexity and certainty equivalents," Open Access publications from Tilburg University urn:nbn:nl:ui:12-80645, Tilburg University.
    2. 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.
    3. 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.
    4. Suijs, J.P.M. & De Waegenaere, A.M.B. & Borm, P.E.M., 1996. "Stochastic Cooperative Games in Insurance and Reinsurance," Discussion Paper 1996-53, Tilburg University, Center for Economic Research.
    5. Borm, P.E.M. & De Waegenaere, A.M.B. & Rafels, C. & Suijs, J.P.M. & Tijs, S.H. & Timmer, J.B., 2001. "Cooperation in capital deposits," Open Access publications from Tilburg University urn:nbn:nl:ui:12-84639, Tilburg University.
    6. 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.
    7. Sandsmark, M., 1999. "Production Games under Uncertainty," Norway; Department of Economics, University of Bergen 204, Department of Economics, University of Bergen.
    8. Sandsmark, Maria, 1999. "Production Games under Uncertainty," Computational Economics, Society for Computational Economics, vol. 14(3), pages 237-53, December.
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