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Optimal production and portfolio investment decisions
Author(s) -
Landskroner Yoram
Publication year - 1988
Publication title -
managerial and decision economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.288
H-Index - 51
eISSN - 1099-1468
pISSN - 0143-6570
DOI - 10.1002/mde.4090090307
Subject(s) - production (economics) , portfolio , shareholder , investment (military) , economics , investment decisions , microeconomics , investment portfolio , process (computing) , financial economics , business , actuarial science , finance , corporate governance , computer science , politics , political science , law , operating system
This paper takes a further step towards the integration of the theories of production and finance under uncertainty. It sets up a continuous time‐diffusion process model of production by firms and portfolio investment by individuals and provides a simultaneous solution to these two decisions. The derived equilibrium conditions, being in the stockholders' interest, are specific in form, and are determined by two factors: attitudes of investors towards risk and the systematic risks of the firm.