Optimal harvesting under resource stock and price uncertainty

被引：20

作者：

Alvarez, Luis H. R.

Koskela, Erkki

机构：

[1] Univ Helsinki, Dept Econ, FIN-00014 Helsinki, Finland

[2] Turku Sch Econ & Business Adm, Dept Econ Quantitat Methods Management, FIN-20500 Turku, Finland

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2007年 / 31卷 / 07期

基金：

芬兰科学院;

关键词：

optimal harvesting; stochastic price and stock dynamics; single and sequential harvesting opportunity;

D O I：

10.1016/j.jedc.2006.08.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We analyze partial and complete depletion harvesting policy under resource stock and price uncertainty and risk neutrality. We state a set of weak conditions under which the optimal policy can be characterized by a single threshold and show that the value call be expressed in a separable form where price volatility affects the value through the risk adjusted growth rate. Both higher price and stock volatility decrease the value when the correlation between the driving Brownian motions is negative. With no correlation the optimal policy is independent of price volatility while higher stock volatility increases the harvesting threshold. (C) 2006 Elsevier B.V. All rights reserved.

引用

页码：2461 / 2485

页数：25

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