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Author:Heikkinen, V-P.
Title:Timber harvesting as a part of the portfolio management: a multiperiod stochastic optimisation approach
Journal:Management Science
2003 : JAN, VOL. 49:1, p. 131-142
Index terms:Cointegration
Optimization
Portfolio management
Stochastic processes
Timber trade
Language:eng
Abstract:The authors formulate a multiperiod stochastic optimization model for a land owner who can speculate between investing harvesting income in financial assets and postponing harvesting. The benefits from using a multiperiod model, the effects of cointegration on optimal portfolio and the differences between the timber harvesting model and the standard financial portfolio optimisation model are demonstrated in this paper.
SCIMA record nr: 252656
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