A COMOMENT CRITERION FOR THE CHOICE OF RISKY INVESTMENT BY FIRMS*

• 成果类型: Article
• 署名作者: Magill, Michael; Quinzii, Martine
• 署名单位: University of California System; University of California Davis; University of Southern California
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2010.00599.x
• 发表日期: 2010
• 页码: 723-744
• 关键词: market equilibrium; skewness; preference; allocation; valuation; assets

摘要

This article uses Taylor series expansions and the assumption of small risks to derive a comoment criterion that firms should maximize so that the resulting equilibrium is Pareto optimal. This is done in two models of production under uncertainty: the state-of-nature (SN) model in which the firms' outputs depend on states of nature and financial markets are complete with respect to these states of nature and the probability (P) model in which the firms' risky outputs are modeled by their joint probabilities and financial markets span the outcome space of the firms. The comoment criterion provides a unifying framework for the two equilibrium models of production under uncertainty, has the merit of being based on information which is readily available to firms, and provides greater insight than the theoretical criterion into the risk characteristics of its profit stream that a firm should focus on when choosing its investment plan.