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

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  • Georges Dionne

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

  • Marc Pellerin

    (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.

Suggested Citation

  • Georges Dionne & Marc Pellerin, 1987. "Investissement en incertitude : extension du problème de la taille optimale d’une usine," L'Actualité Economique, Société Canadienne de Science Economique, vol. 63(2), pages 256-281.
    • 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 278-291, June.
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