تفکیک تصمیمات تولید احتمالی از ترجیحات ریسک تولید در کنار وجود بازارهای مالی

Separation results, as they are usually understood, refer to conditions under which a firm’s production decisions are independent of its risk attitudes. Well-understood situations where separation occurs typically include those where technically feasible production opportunities are replicable in financial markets. This paper gives necessary and sufficient conditions for separation that go beyond these well-understood spanning conditions. To do so, we present a unified treatment of the production and financial decisions available to a firm facing frictionless financial markets and a stochastic production technology under minimal assumptions about the firm’s technology and objective function.

We have presented necessary and sufficient conditions for separation that generalize the existing sufficient complete-market and spanning conditions. We have shown, among other results, that separation implies that the linear pricing of assets in the span of the market can be extended to encompass projects that are not perfectly replicable. One limitation of the current results is that it is restricted to a two-period setting. We hope in future work to generalize these results to a multi-period or continuous-time setting.