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Rethinking Production under Uncertainty

Rethinking Production under Uncertainty Abstract Conventional models of production under uncertainty specify that output is produced in fixed proportions across states of nature. I investigate a representation of technology that allows firms to transform output from one state to another. I allow the firm to choose the distribution of its random productivity from a convex set of such distributions described by a limit on a moment of productivity scaled by a natural productivity shock. The model produces a simple discount factor that is linked to productivity and that can be used to price a wide variety of assets, without regard to preferences. This content is only available as a PDF. © The Author 2020. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oup.com This article is published and distributed under the terms of the Oxford University Press, Standard Journals Publication Model (https://academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model) http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Review of Asset Pricing Studies Oxford University Press

Rethinking Production under Uncertainty

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References (1)

Publisher
Oxford University Press
Copyright
© The Author 2020. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oup.com
ISSN
2045-9920
eISSN
2045-9939
DOI
10.1093/rapstu/raaa006
Publisher site
See Article on Publisher Site

Abstract

Abstract Conventional models of production under uncertainty specify that output is produced in fixed proportions across states of nature. I investigate a representation of technology that allows firms to transform output from one state to another. I allow the firm to choose the distribution of its random productivity from a convex set of such distributions described by a limit on a moment of productivity scaled by a natural productivity shock. The model produces a simple discount factor that is linked to productivity and that can be used to price a wide variety of assets, without regard to preferences. This content is only available as a PDF. © The Author 2020. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oup.com This article is published and distributed under the terms of the Oxford University Press, Standard Journals Publication Model (https://academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model)

Journal

The Review of Asset Pricing Studies – Oxford University Press

Published: Oct 7, 2009

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