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Rethinking Production under Uncertainty
Review of Asset Pricing Studies ( IF 13.1 ) Pub Date : 2020-06-26 , DOI: 10.1093/rapstu/raaa006
John H Cochrane 1
Affiliation  

Abstract
Conventional models of production under uncertainty specify that output is produced in fixed proportions across states of nature. I investigate a representation of technology that allows firms to transform output from one state to another. I allow the firm to choose the distribution of its random productivity from a convex set of such distributions described by a limit on a moment of productivity scaled by a natural productivity shock. The model produces a simple discount factor that is linked to productivity and that can be used to price a wide variety of assets, without regard to preferences.Received November 26, 2019; editorial decision May 23, 2020 by Editor Jeffrey Pontiff. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.


中文翻译:

重新考虑不确定性下的生产

摘要
不确定性下的传统生产模型规定,在自然状态下,产出是按固定比例生产的。我研究了一种技术表示形式,该技术可使公司将产出从一种状态转换为另一种状态。我允许公司从这种分布的凸集中选择其随机生产率的分布,这种分布是由自然生产率冲击定标的生产率矩的极限来描述的。该模型产生了一个与生产率相关的简单折现因子,可以在不考虑偏好的情况下对各种资产进行定价.2019年11月26日收到; 编辑决定Jeffrey Pontiff于2020年5月23日作出决定。作者提供了一个Internet附录,该附录可以在牛津大学出版社的网站上找到,也可以在线链接到最终发表的论文。
更新日期:2020-06-26
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