Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/18923 
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dc.contributor.authorAlvarez, Luis H. R.en
dc.contributor.authorKoskela, Erkkien
dc.date.accessioned2009-01-28T15:53:50Z-
dc.date.available2009-01-28T15:53:50Z-
dc.date.issued2004-
dc.identifier.urihttp://hdl.handle.net/10419/18923-
dc.description.abstractWe use a Wicksellian single rotation framework to analyze the impact of the intertemporallyfluctuating and stochastic mean-reverting interest rate process on the optimal harvestingthreshold and thereby the expected length of the rotation period, when forest value is alsostochastic following geometric Brownian motion and landowners are risk-averse. We providean explicit solution for the two-dimensional path-dependent rotation problem and demonstratethat higher interest rate volatility increases, while higher risk aversion decreases the optimalharvesting threshold. Moreover, under risk aversion increased forest value volatility decreasesthe optimal harvesting threshold, while it has no effect under risk neutrality. Numericalillustrations indicate that higher interest rate volatility will raise the expected rotation periodat an increasing rate, while higher forest value volatility will decrease its sensitivity under riskaversion.en
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x1285en
dc.subject.jelQ23en
dc.subject.jelG31en
dc.subject.jelC61en
dc.subject.ddc330en
dc.subject.keywordforest rotationen
dc.subject.keywordrisk aversionen
dc.subject.keywordstochastic interest ratesen
dc.subject.keywordoptimal stoppingen
dc.subject.stwForstökonomieen
dc.subject.stwAbholzungen
dc.subject.stwSuchtheorieen
dc.subject.stwRisikoaversionen
dc.subject.stwZinsen
dc.subject.stwStochastischer Prozessen
dc.subject.stwTheorieen
dc.titleDoes risk aversion accelerate optimal forest rotation under uncertainty?-
dc.typeWorking Paperen
dc.identifier.ppn856910287en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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