Multi-Output Firm Under Price Uncertainty
A closed-form dual representation of the multi-output production problem is developed under CARA and the large exponential family of multivariate price distributions. System-wide response analysis allows an understanding of second moment and risk tolerance effects, and provides insights on distorting subsidies admissible under World Trade Organization agreements. We demonstrate second-order flexibility in the sense that any empirical first and second moments can be imposed. Production complementarity results are identified for a special linearized version of the model. Incentives under the class of elliptically contoured distributions are studied, as are speculation decisions in the presence of futures markets.
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|Date of creation:||01 May 2006|
|Date of revision:|
|Publication status:||Published in Journal of Economics and Business, May/June 2006, vol. 58, pp. 181-201|
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