Resource Allocation And Asset Pricing
This paper presents a unified treatment of the production and financial decisions available to a firm facing frictionless financial markets and a stochastic production technology under minimal assumptions on the firm's stochastic technology and objective function. The key concept is that of a 'derivative-cost function', which gives the minimal cost (maximal buying price) of constructing an asset by combining financial and real production activities.
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"Arbitrage and Viability in Securities Markets with Fixed Trading Costs,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-033, New York University, Leonard N. Stern School of Business-.
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