Multi-Output Firm Under Price Uncertainty

Staff General Research Papers from Iowa State University, Department of Economics

Abstract: 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.

Keywords: Associated random variables; Exponential family; Hedging (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr and nep-int
Date: Written 2005-08-18

Published in Journal of Economics and Business, May/June 2006, Vol. 58, No. 3, pp. 181-201.

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Journal Article: Multi-output firm under price uncertainty (2006)
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