The optimal harvesting problem under price uncertainty: the risk averse case
Author
Abstract
Suggested Citation
DOI: 10.1007/s10479-015-1963-9
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Andrzej Ruszczynski & Alexander Shapiro, 2004. "Conditional Risk Mappings," Risk and Insurance 0404002, University Library of Munich, Germany, revised 08 Oct 2005.
- Clarke, Harry R. & Reed, William J., 1989.
"The tree-cutting problem in a stochastic environment : The case of age-dependent growth,"
Journal of Economic Dynamics and Control, Elsevier, vol. 13(4), pages 569-595, October.
- Harry R Clarke & William J. Reed, 1989. "The Tree-Cutting Problem in a Stochastic Environment: The case of Age Dependent Growth," Working Papers 1989.01, School of Economics, La Trobe University.
- Harry R Clarke & William J. Reed, 1989. "The Tree-Cutting Problem in a Stochastic Environment: The case of Age Dependent Growth," Working Papers 1989.01 EDIRC Provider-In, School of Economics, La Trobe University.
- Kim, Young-Hwan & Bettinger, Pete & Finney, Mark, 2009. "Spatial optimization of the pattern of fuel management activities and subsequent effects on simulated wildfires," European Journal of Operational Research, Elsevier, vol. 197(1), pages 253-265, August.
- Adriana Piazza & Bernardo Pagnoncelli, 2015. "The stochastic Mitra–Wan forestry model: risk neutral and risk averse cases," Journal of Economics, Springer, vol. 115(2), pages 175-194, June.
- Jose Mosquera & Mordecai Henig & Andres Weintraub, 2011. "Design of insurance contracts using stochastic programming in forestry planning," Annals of Operations Research, Springer, vol. 190(1), pages 117-130, October.
- Alvarez, Luis H.R. & Koskela, Erkki, 2006.
"Does risk aversion accelerate optimal forest rotation under uncertainty?,"
Journal of Forest Economics, Elsevier, vol. 12(3), pages 171-184, December.
- Luis H. R. Alvarez & Erkki Koskela, 2004. "Does Risk Aversion Accelerate Optimal Forest Rotation under Uncertainty?," CESifo Working Paper Series 1285, CESifo.
- Willem Klein Haneveld & Matthijs Streutker & Maarten Vlerk, 2010. "An ALM model for pension funds using integrated chance constraints," Annals of Operations Research, Springer, vol. 177(1), pages 47-62, June.
- Valladão, Davi M. & Veiga, Álvaro & Veiga, Geraldo, 2014. "A multistage linear stochastic programming model for optimal corporate debt management," European Journal of Operational Research, Elsevier, vol. 237(1), pages 303-311.
- Margaret Insley & Kimberly Rollins, 2005. "On Solving the Multirotational Timber Harvesting Problem with Stochastic Prices: A Linear Complementarity Formulation," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(3), pages 735-755.
- Thomas A. Thomson, 1992. "Optimal Forest Rotation When Stumpage Prices Follow a Diffusion Process," Land Economics, University of Wisconsin Press, vol. 68(3), pages 329-342.
- Alvarez, Luis H. R. & Koskela, Erkki, 2005.
"Wicksellian theory of forest rotation under interest rate variability,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 529-545, March.
- Luis H. R. Alvarez & Erkki Koskela, 2001. "Wicksellian Theory of Forest Rotation under Interest Rate Variability," CESifo Working Paper Series 606, CESifo.
- Andy Philpott & Vitor de Matos & Erlon Finardi, 2013. "On Solving Multistage Stochastic Programs with Coherent Risk Measures," Operations Research, INFORMS, vol. 61(4), pages 957-970, August.
- Gjolberg, Ole & Guttormsen, Atle G., 2002. "Real options in the forest: what if prices are mean-reverting?," Forest Policy and Economics, Elsevier, vol. 4(1), pages 13-20, May.
- Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
- Yoshimoto, Atsushi & Shoji, Isao, 1998. "Searching for an optimal rotation age for forest stand management under stochastic log prices," European Journal of Operational Research, Elsevier, vol. 105(1), pages 100-112, February.
- Alvarez, Luis H.R. & Koskela, Erkki, 2007.
"Taxation and rotation age under stochastic forest stand value,"
Journal of Environmental Economics and Management, Elsevier, vol. 54(1), pages 113-127, July.
- Luis H. R. Alvarez & Erkki Koskela, 2004. "Taxation and Rotation Age under Stochastic Forest Stand Value," CESifo Working Paper Series 1211, CESifo.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Laurence Reeves & Robert Haight, 2000. "Timber harvest scheduling with price uncertainty using Markowitz portfolio optimization," Annals of Operations Research, Springer, vol. 95(1), pages 229-250, January.
- Harry Zheng, 2009. "Efficient frontier of utility and CVaR," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(1), pages 129-148, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Alonso-Ayuso, Antonio & Escudero, Laureano F. & Guignard, Monique & Weintraub, Andres, 2018. "Risk management for forestry planning under uncertainty in demand and prices," European Journal of Operational Research, Elsevier, vol. 267(3), pages 1051-1074.
- Yu, Zhihan & Ning, Zhuo & Chang, Wei-Yew & Chang, Sun Joseph & Yang, Hongqiang, 2023. "Optimal harvest decisions for the management of carbon sequestration forests under price uncertainty and risk preferences," Forest Policy and Economics, Elsevier, vol. 151(C).
- Bushaj, Sabah & Büyüktahtakın, İ. Esra & Haight, Robert G., 2022. "Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation," European Journal of Operational Research, Elsevier, vol. 299(3), pages 1094-1110.
- Reus, Lorenzo & Pagnoncelli, Bernardo & Armstrong, Margaret, 2019. "Better management of production incidents in mining using multistage stochastic optimization," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Adriana Piazza & Bernardo Pagnoncelli, 2015. "The stochastic Mitra–Wan forestry model: risk neutral and risk averse cases," Journal of Economics, Springer, vol. 115(2), pages 175-194, June.
- Adriana Piazza & Bernardo Pagnoncelli, 2014. "The optimal harvesting problem under price uncertainty," Annals of Operations Research, Springer, vol. 217(1), pages 425-445, June.
- Alvarez, Luis H.R. & Koskela, Erkki, 2007.
"Optimal harvesting under resource stock and price uncertainty,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2461-2485, July.
- Luis H. R. Alvarez & Erkki Koskela, 2005. "Optimal Harvesting under Resource Stock and Price Uncertainty," CESifo Working Paper Series 1384, CESifo.
- Hildebrandt, Patrick & Knoke, Thomas, 2011. "Investment decisions under uncertainty--A methodological review on forest science studies," Forest Policy and Economics, Elsevier, vol. 13(1), pages 1-15, January.
- Chen, Shan & Insley, Margaret, 2012.
"Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 201-219.
- Shan Chen & Margaret Insley, 2008. "Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem," Working Papers 08003, University of Waterloo, Department of Economics.
- Shan chen & Margaret Insley, 2010. "Regime Switching in Stochastic Models of Commodity Prices: An Application to an Optimal Tree Harvesting Problem," Working Papers 1016, University of Waterloo, Department of Economics, revised Jul 2010.
- Insley, M.C. & Wirjanto, T.S., 2010.
"Contrasting two approaches in real options valuation: Contingent claims versus dynamic programming,"
Journal of Forest Economics, Elsevier, vol. 16(2), pages 157-176, April.
- Margaret Insley & Tony Wirjanto, 2008. "Contrasting two approaches in real options valuation: contingent claims versus dynamic programming," Working Papers 08002, University of Waterloo, Department of Economics.
- Alvarez, Luis H.R. & Koskela, Erkki, 2007.
"Taxation and rotation age under stochastic forest stand value,"
Journal of Environmental Economics and Management, Elsevier, vol. 54(1), pages 113-127, July.
- Luis H. R. Alvarez & Erkki Koskela, 2004. "Taxation and Rotation Age under Stochastic Forest Stand Value," CESifo Working Paper Series 1211, CESifo.
- Ben Abdallah, Skander & Lasserre, Pierre, 2016.
"Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry,"
Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 144-164.
- Skander Ben Abdallah & Pierre Lasserre, 2016. "Asset Retirement with Infinitely Repeated Alternative Replacements: Harvest Age and Species Choice in Forestry," CIRANO Working Papers 2016s-37, CIRANO.
- Manley, Bruce & Niquidet, Kurt, 2010. "What is the relevance of option pricing for forest valuation in New Zealand?," Forest Policy and Economics, Elsevier, vol. 12(4), pages 299-307, April.
- Rakotoarison, Hanitra & Loisel, Patrice, 2016. "The Faustmann model under storm risk and price uncertainty: A case study of European beech in Northwestern France," MPRA Paper 85114, University Library of Munich, Germany.
- Newman, D.H., 2002. "Forestry's golden rule and the development of the optimal forest rotation literature," Journal of Forest Economics, Elsevier, vol. 8(1), pages 5-27.
- Chang, Sun Joseph & Zhang, Fan, 2023. "Active timber management by outsourcing stumpage price uncertainty with the American put option," Forest Policy and Economics, Elsevier, vol. 154(C).
- Buongiorno, Joseph & Zhou, Mo, 2011. "Further generalization of Faustmann's formula for stochastic interest rates," Journal of Forest Economics, Elsevier, vol. 17(3), pages 248-257, August.
- Zhou, Mo & Buongiorno, Joseph, 2011. "Effects of stochastic interest rates in decision making under risk: A Markov decision process model for forest management," Forest Policy and Economics, Elsevier, vol. 13(5), pages 402-410, June.
- Yu, Zhihan & Ning, Zhuo & Chang, Wei-Yew & Chang, Sun Joseph & Yang, Hongqiang, 2023. "Optimal harvest decisions for the management of carbon sequestration forests under price uncertainty and risk preferences," Forest Policy and Economics, Elsevier, vol. 151(C).
- James Tee & Riccardo Scarpa & Dan Marsh & Graeme Guthrie, 2014. "Forest Valuation under the New Zealand Emissions Trading Scheme: A Real Options Binomial Tree with Stochastic Carbon and Timber Prices," Land Economics, University of Wisconsin Press, vol. 90(1), pages 44-60.
- Couture, Stéphane & Reynaud, Arnaud, 2011.
"Forest management under fire risk when forest carbon sequestration has value,"
Ecological Economics, Elsevier, vol. 70(11), pages 2002-2011, September.
- Stéphane Couture & Arnaud Reynaud, 2009. "Forest Management Under Fire Risk When Forest Carbon Sequestration Has Value," LERNA Working Papers 09.09.285, LERNA, University of Toulouse.
- Couture, Stéphane & Reynaud, Arnaud, 2009. "Forest Management under Fire Risk when Forest Carbon Sequestration Has Value," TSE Working Papers 09-005, Toulouse School of Economics (TSE).
- Tee, James & Scarpa, Riccardo & Marsh, Dan & Guthrie, Graeme, 2012.
"Valuation of Carbon Forestry and the New Zealand Emissions Trading Scheme: A Real Options Approach Using the Binomial Tree Method,"
2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil
123665, International Association of Agricultural Economists.
- Tee, James & Scarpa, Riccardo & Marsh, Dan & Guthrie, Graeme, 2012. "Valuation of Carbon Forestry and the New Zealand Emissions Trading Scheme: A Real Options Approach Using the Binomial Tree Method," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 131066, International Association of Agricultural Economists.
- Reus, Lorenzo & Pagnoncelli, Bernardo & Armstrong, Margaret, 2019. "Better management of production incidents in mining using multistage stochastic optimization," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
- Holopainen, Markus & Mäkinen, Antti & Rasinmäki, Jussi & Hyytiäinen, Kari & Bayazidi, Saeed & Pietilä, Ilona, 2010. "Comparison of various sources of uncertainty in stand-level net present value estimates," Forest Policy and Economics, Elsevier, vol. 12(5), pages 377-386, June.
More about this item
Keywords
Multistage stochastic programming; Optimal harvesting; Forestry; Coherent risk measures;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:258:y:2017:i:2:d:10.1007_s10479-015-1963-9. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.