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Multi-output firm under price uncertainty

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  • Hennessy, David A.

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.
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Suggested Citation

  • Hennessy, David A., 2006. "Multi-output firm under price uncertainty," Journal of Economics and Business, Elsevier, vol. 58(3), pages 181-201.
    • Handle: RePEc:eee:jebusi:v:58:y:2006:i:3:p:181-201
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