Timber harvest scheduling with price uncertainty using Markowitz portfolio optimization
Timber harvest scheduling with price uncertainty using Markowitz portfolio optimization
复制标题
使用马科维茨投资组合优化在价格不确定的情况下安排木材采伐计划
DOI：
10.1023/a:1018974712925
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发表时间：
2000
影响因子：
4.8
通讯作者：
R. Haight
中科院分区：
文献类型：
--
作者：
L. H. Reeves;R. Haight
当最小化财务损失风险是一个重要的管理目标时，收获调度模型需要考虑不确定的收入预测。本文提出了树桩价格均值和协方差的估计方法，并将其纳入采收计划模型。我们通过拟合美国乔治亚州火炬松锯材和纸浆木立木价格的时间序列模型来解决估计问题，并推导出价格预测的均值和协方差公式。统计证据支持综合自回归模型，导致价格预测的协方差随时间增加。将价格预测的均值和协方差与木材产量和土地价值预测相结合，给出木材管理活动的收入均值和协方差的精确公式。锯材制度通过在广泛的收入差异范围内提供更高的平均收入而主导纸浆木制度。对一个假设的松树人工林的采伐计划结果表明，在不考虑风险（以收入的标准差表示）的情况下，使平均收入最大化的森林计划涉及35年轮龄的锯材生产。通过使用较短的轮作锯材制度，风险降低了30%，对平均收入几乎没有影响。由于纸浆木材价格与锯材价格之间的相关性较弱，因此混合使用短轮锯材和纸浆木材的风险降低了80%。后一种风险的降低是以平均收入为代价的，平均收入减少了50%。最佳森林计划的风险和构成对不同预测模式所固有的关于未来价格范围的假设极为敏感。这种敏感性强调了仔细确定决策者对树桩价格行为的信念的重要性。
Harvest scheduling models need to account for uncertain revenue predictions when minimizing risk of financial loss is an important management objective. In this paper, we present methods for estimating the means and covariances of stumpage prices and incorporating them in harvest scheduling models. We approached the estimation problem by fitting time-series models to loblolly pine sawtimber and pulpwood stumpage prices in Georgia, USA, and deriving formulas for means and covariances of price predictions. Statistical evidence supported integrated autoregressive models, which caused covariances of price predictions to increase with time. The means and covariances of price predictions were combined with timber yield and land value predictions to give exact formulas for the revenue means and covariances of timber management activities. Sawtimber regimes dominated pulpwood regimes by providing higher mean revenues across a wide range of revenue variances. Harvest scheduling results for a hypothetical forest of pine plantations showed that the forest plan that maximized mean income without concern for risk (expressed as the standard deviation of income) involved sawtimber production with a 35-year rotation age. Risk was reduced 30% with little effect on mean income by using shorter-rotation sawtimber regimes. Risk was reduced 80% by using a mix of short-rotation sawtimber and pulpwood regimes because pulpwood price was only weakly correlated with sawtimber price. The latter risk-reduction came at the expense of mean income, which was reduced by as much as 50%. The risks and compositions of optimal forest plans were extremely sensitive to assumptions about the range of future prices that were inherent in different prediction models. This sensitivity emphasizes the importance of carefully determining the decision maker’s beliefs about stumpage price behavior.