Separability of stochastic production decisions from producer risk preferences in the presence of financial markets

B-Tier
Journal: Journal of Mathematical Economics
Year: 2009
Volume: 45
Issue: 11
Pages: 730-737

Authors (2)

Chambers, Robert G. (not in RePEc) Quiggin, John (University of Queensland)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Separation results, as they are usually understood, refer to conditions under which a firm's production decisions are independent of its risk attitudes. Well-understood situations where separation occurs typically include those where technically feasible production opportunities are replicable in financial markets. This paper gives necessary and sufficient conditions for separation that go beyond these well-understood spanning conditions. To do so, we present 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 about the firm's technology and objective function.

Technical Details

RePEc Handle
repec:eee:mateco:v:45:y:2009:i:11:p:730-737
Journal Field
Theory
Author Count
2
Added to Database
2026-01-25