In this article, we employ the concept of value-at-risk to model a kind of risk-averse behaviour of a firm which seeks to maximize profit a` la Greenwald-Stiglitz [5]. It is shown that there exists a unique well-defined solution function, which relates output to the firm's net worth, but that this function is not monotone. The latter is due to the fact that whenever the VaR-constraint is not binding, the firm behaves in a risk-neutral fashion. It is also shown that in this context, the Modigliani-Miller theorem applies only in the special case where there is no risk of bankruptcy.
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