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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/18748
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| Title: | | Optimal harvesting under resource stock and price uncertainty  |
| Authors: | | Alvarez, Luis H. R. Koskela, Erkki |
| Issue Date: | | 2005 |
| Series/Report no.: | | CESifo working papers 1384 |
| Abstract: | | We analyze optimal harvesting policy under stochastic price and stock dynamics. We state a set of weak conditions under which the optimal policy can be characterized by a single exercise threshold and show that the value of optimal harvesting and depletion policies can be expressed as the separable form according to which only the current price and the expected per capita growth rate affect the threshold, while under risk neutrality volatility of price dynamics will have no effect. Uncertainty makes waiting valuable and the optimal threshold is higher when harvesting can be exercised only once than in the sequential case. |
| Subjects: | | optimal harvesting stochastic price and stock dynamics single and sequential |
| JEL: | | H25 G31 D80 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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