Forest management and investment under stochastic prices.

摘要

This study examines financial risk analysis in forestry. First, a timber harvest scheduling model is developed which incorporates financial risk analysis. Secondly, the influence of price process assumptions on risk analysis is examined using the timber harvest scheduling model. Finally, the influences of land value and initial forest age on timberland investment attributes are examined in the context of portfolio diversification.; This dissertation consists of three chapters. The first chapter examines past research and theory that are the foundation for the following chapters.; Chapter Two demonstrates how fluctuations in expected return due to price uncertainty can be reduced when planning timber harvest schedules. Using mean-variance analysis and stumpage price data, forest products are strategically combined into a series of minimum-risk "harvest portfolios" at varying levels of expected return. This explicitly reveals the trade-off between risk and return.; How prices change over time, called price process, is an important part of making price predictions for this type of analysis. However, many past forestry applications using mean-variance analysis do not explicitly state price process assumptions. This chapter further explores the impact of price process assumptions by interchanging three common price processes in the mean-variance model developed here and compares the resulting output for all three cases. Thus, Chapter Two examines timber harvest scheduling strategies with explicit recognition of risk and return and examines how price process assumptions effect expected return, variance, rotation age, and overall harvest schedule composition.; Finally, Chapter Three examines the sensitivity of timberland investment attributes to changes in initial forest age and land values. This issue is important as past applications have implicitly assumed the forest investment had a single forest age and land value. However, to realistically consider forestland as an investment asset, many different forest ages and land values must be considered. This study examines how these factors influence the risk and return attributes of forestland and the resulting effect on investment portfolios consisting of both forest and stock assets. This question is addressed through the use of mean-variance analysis and makes explicit price process assumptions regarding the forest and stock assets used in this study.