Price Uncertainty in Linear Production Situations

Tilburg University, CentER Working Paper No. 1999-91

Posted: 10 Mar 2000

See all articles by Jeroen Suijs

Jeroen Suijs

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract

This paper analyzes linear production situations with price uncertainty, and shows that the corresponding stochastic linear production games are totally balanced. It also shows that investment funds, where investors pool their individual capital for joint investments in financial assets, fit into this framework. For this subclass, the paper provides a procedure to construct an optimal investment portfolio. Furthermore it provides necessary and sufficient conditions for the proportional rule to result in a core-allocation.

Keywords: uncertainty, production, cooperative games, investment, prices

JEL Classification: C71

Suggested Citation

Suijs, Jeroen, Price Uncertainty in Linear Production Situations. Tilburg University, CentER Working Paper No. 1999-91, Available at SSRN: https://ssrn.com/abstract=200115

Jeroen Suijs (Contact Author)

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

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