We show that the increase in price riskiness reduces the optimal output under increasing absolute risk aversion. That is, the marginal impact of the risk on output is independent of the type of absolute risk aversion (decreasing, constant, or increasing).

In this paper, we provide general closed-form solutions to the incomplete-market random-coefficient dynamic optimization problem without the restrictive assumption of exponential or HARA utility function. Moreover, we explicitly express the optimal portfolio as a function of the optimal...

This article provides empirical comparative statics under simultaneous price and output uncertainty. In so doing, it presents a simple (one-step) and general statistical methodology under price and output uncertainty.

This book introduces new theoretical foundations under uncertainty with applications (Nova Science Publishers Inc., NY, 2007).

This study is an empirical implementation of Alghalith's methodology. In doing so, it provides empirical comparative statics results for the hedging agents under simultaneous price and output uncertainty.

Without relying on duality theory and the indirect utility function, an estimation method is devised that accommodates both price and output uncertainty. This method enables easy testing for risk neutrality. Moreover, it enables empirical comparative statics results to be derived that can be...

We simultaneously extend the models developed by Stewart, Paroush & Wolf, and Viaene & Zilcha. That is, allowing output to adjust and using a general utility, general distributions and a two-variable-input production function, we show the impact of the cost risk and increasing risk aversion on...