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| Tekijä: | Heikkinen, V-P. |
| Otsikko: | Timber harvesting as a part of the portfolio management: a multiperiod stochastic optimisation approach |
| Lehti: | Management Science
2003 : JAN, VOL. 49:1, p. 131-142 |
| Asiasana: | Cointegration Optimization Portfolio management Stochastic processes Timber trade |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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