Firm behavior under illiquidity risk

DOI10.1016/J.AML.2010.12.012MaRDI QIDQ628273zbMATH OpenOpenAlexFDO

Authors Justin Garosi, Jiahong Wu, Eric A. DeVuyst

Publication date 10 March 2011

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2010.12.012

zbMATH Keywords

chance constrained programmingrisk-aversioncash flowrisk-seeking

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Production theory, theory of the firm (91B38)

Recommendations

• Firm behavioral response to multiple sources of risky cash flow
• Financial conditions and supply decisions when firms are risk averse
• Firm asset structure and risk aversion
• Firm behaviour under the threat of liquidation
• A firm's optimizing behaviour under a value-at-risk constraint

Cites work

• Chance-constrained programming
• Friedman-Savage Utility Functions Consistent with Risk Aversion
• Less likely to fail: low performance, firm size, and factory expansion in the shipbuilding industry
• Price Uncertainty, Utility, and Industry Equilibrium in Pure Competition
• Prospect Theory: An Analysis of Decision under Risk

Cited in

(9)

• A computational approach to liquidity-constrained firms over an infinite horizon
• Liquidity constrained exporters and trade
• Firm behavioral response to multiple sources of risky cash flow
• Less likely to fail: low performance, firm size, and factory expansion in the shipbuilding industry
• Firm behaviour under the threat of liquidation
• Financial conditions and supply decisions when firms are risk averse
• In the path of the storm: does distress risk cause industrial firms to risk-shift?
• The impact of illiquidity on the asset management of insurance companies
• Firm asset structure and risk aversion

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