Mixed forests and a flexible harvest policy: a problem for conventional risk analysis?
Mixed forests and a flexible harvest policy: a problem for conventional risk analysis?
复制标题
混交林和灵活的采伐政策：传统风险分析的问题吗？
DOI：
10.1007/s10342-006-0119-5
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发表时间：
2006
影响因子：
2.8
通讯作者：
J. Wurm
中科院分区：
文献类型：
--
作者：
T. Knoke;J. Wurm
著名的“福斯特曼”方程，它允许确定最有利可图的树种在一个给定的无库存的一块土地上，假设不变的木材价格。实际上，木材价格可能会大幅波动。几位作者已经证明，在采伐（灵活采伐政策）之前等待一个可接受的木材价格（保留价格）会增加森林管理的净现值。本文的第一部分研究了在混交林中如何有效地应用灵活的采伐策略，以及在这种采伐策略下最优的物种混合是否会改变。针叶树种挪威云杉[Picea abies（L.）喀斯特]和阔叶欧洲山毛榉（Fagus sylvatica L.）考察为了对混交林进行评价，根据经典的最优组合选择理论，考虑了树种间的风险和风险的相关性以及决策者对风险的态度（假定为风险规避）。在第二部分中，我们讨论了曼德尔布罗特最近对现代金融理论的批判。研究了在有风险的情况下出现的正态分布资金流的假设是否适合于评价森林管理的风险。通过蒙特-卡罗模拟（MCS），将市场风险和灾害风险及其相互关系纳入混交林评价中。木材价格波动风险与自然灾害风险相结合，主要由虫害、雪灾和风灾引起。应用μ-σ规则，1,000次模拟的平均净现值（NPV）及其标准差用于优化。给定一个低回报，无风险的利率，以评估潜在的物种混合物的挪威云杉和欧洲山毛榉，欧洲山毛榉的最佳比例增加，根据最优投资组合选择的理论，不断增长的风险厌恶从0（无知的风险）到60%（极大的风险厌恶）。在固定收获政策方面，挪威云杉和欧洲山毛榉的净现值可能会大幅增加。由于欧洲山毛榉的危害风险大大低于挪威云杉（易感性的关系1：4）山毛榉受益于灵活的收获政策。在正态分布的假设下，NPV的模拟频率分布与预期密度函数的比较显示出显着差异。只有在欧洲山毛榉的情况下，模拟频率分布的一般形状类似于正态分布（钟形曲线）。然而，接近平均值的净现值密度远大于正态分布假设下的预期。因此，当应用正态分布时，欧洲山毛榉林的负净现值的频率被大大高估。虽然挪威云杉的模拟频率分布的形状与正态分布有很大的不同，但负净现值的模拟部分很好地近似于正态分布。因此，挪威云杉的负净现值的模拟频率和预期频率相似;在正态分布的假设下，仅观察到轻微低估。可以得出结论，实际模拟的频率负净现值似乎是更好的措施，风险比计算概率负净现值，假设正态分布。由于传统的正态分布假设大大高估了欧洲山毛榉的风险，根据投资组合理论，欧洲山毛榉的最佳比例肯定是相当低估的。由经典投资组合理论导出的最优混合物的MCS似乎是必要的，以测试这种混合物的鲁棒性。
The famous “Faustmann” equation, which allows for identifying the most profitable tree species on a given unstocked piece of land, assumes constant timber prices. In reality, timber prices may fluctuate dramatically. Several authors have proven for monocultures that waiting for an acceptable timber price (reservation price) before harvesting (flexible harvest policy) increases the net present value of forest management. The first part of this paper investigates how efficient a flexible harvest strategy may be applied in mixed forests and whether the optimal species mixture is changed under such harvest policy. Mixtures of the conifer Norway spruce [Picea abies (L.) Karst] and the broadleaf European beech (Fagus sylvatica L.) were investigated. In order to evaluate mixed forests, the risks and the correlation of risks between tree species as well as the attitude towards risk of the decision-maker (risk-aversion is assumed) were considered according to the classical theory of optimal portfolio selection. In the second part we took up a recent critique on modern financial theory by Mandelbrot. Whether or not the assumption of normally distributed financial flows, which are supposed to occur under risk, would be appropriate to evaluate the risk of forest management was investigated. Market and hazard risks as well as their correlation were integrated in the evaluation of mixed forests by means of Monte-Carlo simulations (MCS). The risk of the timber price fluctuation was combined with the natural hazard risk, caused mainly by insects, snow and wind. Applying the μ-σ-rule, the mean net present value (NPV) from 1,000 simulations and their standard deviation were used for the optimisation. Given a low-return, risk-free interest rate to assess potential species mixtures of the Norway spruce and European beech, optimal proportions of European beech increased according to the theory of optimum portfolio selection with growing risk aversion from 0 (ignorance of risk) to 60% (great risk-aversion). In relation to a fixed harvest policy, the net present value of both, Norway spruce and European beech, could be increased significantly. Since the hazard risks of European beech were substantially lower compared with the Norway spruce (relation of susceptibility 1:4) beech benefited more from the flexible harvest policy. A comparison of simulated frequency distributions of the NPV with the expected density functions under the assumption of a normal distribution revealed significant differences. Only in the case of European beech was the general shape of the simulated frequency distribution similar to a normal distribution (bell-shaped curve). However, the density of NPV close to the mean was much greater than expected under the assumption of a normal distribution. Consequently, the frequency of a negative NPV for a European beech forest was greatly overestimated when applying the normal distribution. Though the shape of the simulated frequency distribution was rather different from a normal distribution for Norway spruce the simulated part of negative NPV was quite well approximated by the normal distribution. Therefore the simulated and expected frequencies of negative NPV were similar in case of Norway spruce; only a slight underestimation was seen in the assumption of a normal distribution. It can be concluded that actually simulated frequencies of negative NPV seem to be better measures for risk than computed probabilities of negative NPV, which assume normal distribution. As the risk for European beech was greatly overestimated by the conventional assumption of a normal distribution, the optimal proportions of European beech were surely rather underestimated according to the theory of portfolio. MCS on optimum mixtures derived by the classical portfolio theory seems necessary to test the robustness of such mixtures.