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The output decision of a risk-neutral producer under risk of liquidation

Author

Listed:
  • Olivier Mahul

    (ESR - Unité de recherche d'Économie et Sociologie Rurales - INRA - Institut National de la Recherche Agronomique)

Abstract

Un producteur neutre vis-à-vis du risque fait face à une contrainte de liquidité qui l'oblige à vendre un de ses actifs sur des marchés financiers imparfaits s'il s'avère incapable d'honorer ses dettes, générant un coût fixe de transaction. En présence d'un tel risque de liquidation, il peut refuser d'investir dans un projet risqué dont le rendement net espéré est positif. Il présente alors une aversion envers le risque de premier ordre. Le niveau optimal de production est une fonction linéaire par morceaux de sa richesse. Il décroît ou s'accroît selon que le rendement net espéré du projet est positif ou négatif. Lorsque sa richesse initiale est affectée par un risque sous-jacent suivant une loi normale, sa fonction d'utilité apparente présente une forme en "S".

Suggested Citation

  • Olivier Mahul, 2000. "The output decision of a risk-neutral producer under risk of liquidation," Post-Print hal-01952110, HAL.
    • Handle: RePEc:hal:journl:hal-01952110
    as

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    Cited by:

    1. Blank, Steven C., 2001. "Globalization, Cropping Choices, And Profitability In American Agriculture," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 33(2), pages 1-12, August.
    2. Chiu, Leslie J. Verteramo, 2013. "Risk Rationing and Jump Utility," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150589, Agricultural and Applied Economics Association.
    3. Vercammen, James, 2003. "A Stochastic Dynamic Programming Model Of Direct Subsidy Payments And Agricultural Investment," Working Papers 15847, University of British Columbia, Food and Resource Economics.
    4. Blank, Steven C., 2001. "The Challenge To Think Big As American Agriculture Shrinks," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 26(2), pages 1-17, December.
    5. Steven C. Blank, 2002. "A Portfolio Of Threats To American Agriculture," Contemporary Economic Policy, Western Economic Association International, vol. 20(4), pages 381-393, October.
    6. Chiu, Leslie J. Verteramo & Turvey, Calum G., 2013. "A Risk Rationing Model," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150628, Agricultural and Applied Economics Association.

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