Sourcing decision under interconnected risks: an application of mean–variance preferences approach

Mukherjee, Soumyatanu; Padhi, Sidhartha S.

doi:10.1007/s10479-021-04485-3

Cited by 4 publications

(7 citation statements)

References 82 publications

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“…, is comparable to the condition that 'index of partial relative prudence' lies below two under the EU-setting (also see Mukherjee & Padhi, 2022).…”

Section: Theoretical Setting-mean Variance Approachmentioning

confidence: 85%

“…iv. Lajeri-Chaherli and Nielsen (2000) and Eichner andWagener (2003, 2005) have demonstrated that Kimball's (1990) Eichner, 2008;Eichner & Wagener, 2009, 2011Epstein, 1985;Guo et al, 2018;Mukherjee & Padhi, 2022;Padhi & Mukherjee, 2021;Ormiston & Schlee, 2001) have established equivalents of the EU properties, such as 'risk vulnerability', 'properness', 'temperance', and so forth in terms of the relative willingness-to-pay for variations in risk. This is within the research scope of U σ, μ ð Þ-analysis.…”

Section: Contributionmentioning

confidence: 99%

“…We begin by utilizing the supple mean-standard deviation utility function, as founded in Saha (1997); and subsequently used in associated contributions modelling firm's attitude towards risk; viz., Broll and Mukherjee (2017), Broll et al (2020), , and Mukherjee and Padhi (2022); characterized by the mean (μ) and standard deviation (σ) of the terminal profit function:…”

Section: Theoretical Setting-mean Variance Approachmentioning

confidence: 99%

“…Lajeri‐Chaherli (2002) has demonstrated that quasi‐concavity of

U (σ, μ)

, coupled with decreasing absolute risk aversion (DARA) preference structure, is tantamount to the concept of ‘ properness ’ in the risk aversion pattern . The Arrow–Pratt measures of ‘ absolute risk aversion ’ and the ‘ relative risk aversion ’ (Arrow, 1965; Pratt, 1964) along with their monotonicity properties from the EU approach have also been transformed into the

U (σ, μ)

‐models by Meyer (1987). Lajeri‐Chaherli and Nielsen (2000) and Eichner and Wagener (2003, 2005) have demonstrated that Kimball's (1990) notion of ‘ decreasing absolute prudence ’ is tantamount to the decreasing slope of the curve for negative of the marginal utility from the business regarding mean (i.e.,

- \partial U (σ, μ) / \partial μ

) in expected return for the

U (σ, μ)

‐models. Existing papers devoted towards modelling risk preferences (e.g., Alghalith, Guo, et al, 2017; Alghalith, Niu, & Wong, 2017; Eichner, 2008; Eichner & Wagener, 2009, 2011; Epstein, 1985; Guo et al, 2018; Mukherjee et al, 2021; Mukherjee & Padhi, 2022; Padhi & Mukherjee, 2021; Ormiston & Schlee, 2001) have established equivalents of the EU properties, such as ‘risk vulnerability’, ‘properness’, ‘temperance’, and so forth in terms of the relative willingness‐to‐pay for variations in risk. This is within the research scope of

U (σ, μ)

‐analysis.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

A risk–return trade‐off or co‐movement? Are food processing firms risk‐averse?

Mukherjee

Parhi

et al. 2023

Int. J Fin Econ

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We build a two‐moment decision‐theoretic framework to study how firms in the food‐processing industry negotiate between risk and return while relying on imported inputs for production at an intensive margin. Two possibilities emerge: either a co‐movement or a trade‐off in risk and return under various industry and economic conditions. Building on our theoretical setting, we design a testable empirical framework that considers a panel of 316 firms in the Indian food‐processing industry between 1993 and 2009. We find strong evidence of a decrease in the absolute risk aversion preference, although the magnitude varies measurably across firms.

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“…, is comparable to the condition that 'index of partial relative prudence' lies below two under the EU-setting (also see Mukherjee & Padhi, 2022).…”

Section: Theoretical Setting-mean Variance Approachmentioning

confidence: 85%

Section: Contributionmentioning

confidence: 99%

Section: Theoretical Setting-mean Variance Approachmentioning

confidence: 99%

“…Lajeri‐Chaherli (2002) has demonstrated that quasi‐concavity of

U (σ, μ)

U (σ, μ)

- \partial U (σ, μ) / \partial μ

) in expected return for the

U (σ, μ)

U (σ, μ)

‐analysis.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

A risk–return trade‐off or co‐movement? Are food processing firms risk‐averse?

Mukherjee

Parhi

et al. 2023

Int. J Fin Econ

Self Cite

View full text Add to dashboard Cite

show abstract

“…In fact, the literature recognizes that location plays an important role in diversifying risks of a supply chain and has been recognized as one the remarkable sources of risk in supply chains (Tang and Musa 2011 ; Mukherjee and Padhi 2022 ). Recent studies address this issue by developing analytical models, experimental studies, and survey studies.…”

Section: Discussionmentioning

confidence: 99%

Does supplier concentration matter to investors during the COVID-19 crisis: evidence from China?

et al. 2022

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The literature shows that investor attention to customer–supplier disclosure increases when suppliers’ information arrival is anticipated. Due to the widespread of city lockdowns in China and the implementation of social distancing to control the COVID-19 pandemic, investor attention to potential disruption of the supply chain spikes, leading to a price devaluation for firms with high supplier concentration risk. We find that a higher degree of supplier concentration is related to more serious stock price declines over the short-term and medium-term windows right after the Wuhan lockdown. This result lends support to the argument that the concentration risk of suppliers is a significant consideration for China stock market investors, especially under the potential financial distress at the firm level induced by the COVID-19 crisis.

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