Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18748
Authors: 
Alvarez, Luis H. R.
Koskela, Erkki
Year of Publication: 
2005
Series/Report no.: 
CESifo Working Paper 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

Files in This Item:
File
Size
357.31 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.