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

Robert Chambers () and John Quiggin

Journal of Mathematical Economics, 2009, vol. 45, issue 11, 730-737

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.

Keywords: Production; under; uncertainty; Financial; markets; Separation; Spanning (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Separability of stochastic production decisions from producer risk preferences in the presence of financial markets (2003)
Working Paper: Separability of stochastic production decisions from producer risk preferences in the presence of financial markets (2003)
Working Paper: SEPARABILITY OF STOCHASTIC PRODUCTION DECISIONS FROM PRODUCER RISK PREFERENCES IN THE PRESENCE OF FINANCIAL MARKETS (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:45:y:2009:i:11:p:730-737

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