The stochastic Mitra–Wan forestry model: risk neutral and risk averse cases
The stochastic Mitra–Wan forestry model: risk neutral and risk averse cases
复制标题
随机 Mitra-Wan 林业模型：风险中立和风险规避案例
DOI：
10.1007/s00712-014-0414-4
复制
发表时间：
2015
影响因子：
1.7
通讯作者：
B. Pagnoncelli
中科院分区：
文献类型：
--
作者：
Adriana Piazza;B. Pagnoncelli
我们扩展了经典的米特拉和万林业模型，假设价格遵循几何布朗运动。我们在随机价格模型中更进一步，在目标函数中包含风险规避。我们证明了，在确定性的情况下，最优方案是周期的风险中性和风险厌恶的框架下，当效益函数是线性的。我们发现，在这两种随机情况下的最佳旋转年龄，并表明，他们可能会显着不同的确定性旋转年龄。此外，我们还展示了价格过程的漂移如何影响最优轮伐期，以及风险规避程度如何缩短轮伐期。我们以生物量函数和模型参数的不同值为例说明了我们的研究结果。
We extend the classic Mitra and Wan forestry model by assuming that prices follow a geometric Brownian motion. We move one step further in the model with stochastic prices and include risk aversion in the objective function. We prove that, as in the deterministic case, the optimal program is periodic both in the risk neutral and risk averse frameworks, when the benefit function is linear. We find the optimal rotation ages in both stochastic cases and show that they may differ significantly from the deterministic rotation age. In addition, we show how the drift of the price process affects the optimal rotation age and how the degree of risk aversion shortens it. We illustrate our findings for an example of a biomass function and for different values of the model’s parameters.