Rethinking Production under Uncertainty
本文提出一种新的生产技术表示，允许企业在不同自然状态间转换产出，并基于生产率矩约束选择随机生产率分布，从而推导出与生产率挂钩的简单折现因子，可用于多种资产定价。
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.