The Output Decision of a Risk‐Neutral Producer under Risk of Liquidation
研究风险中性生产者在面临流动性约束和清算风险时的产出决策，发现即使项目预期超额收益为正，生产者也可能拒绝投资，表现出“一阶风险厌恶”。
Abstract A risk‐neutral producer faces liquidity constraint that forces him to liquidate real assets in imperfect markets if he cannot meet his cash obligation, entailing a fixed liquidation cost. Under this risk of liquidation, the risk‐neutral producer is shown to refuse to undertake a risky project with positive expected excess return, exhibiting first‐order risk aversion. The optimal output level of the producer is piecewise linear in wealth; it decreases or increases depending on whether the expected excess return is positive or negative. The producer's apparent utility function exhibits an S‐shaped curve when the initial liquid assets are affected by a background risk that is normally distributed.