Adriana Piazza

The optimal harvesting problem under risk aversion

  • Bernardo K. Pagnoncelli
  • Adriana Piazza
    • Categories Applications - OR and Management Sciences, Stochastic Programming Tags , , ,

    We study the exploitation of a one species forest plantation when timber price is uncertain. The work focuses on providing optimality conditions for the optimal harvesting policy in terms of the parameters of the price process and the discount factor. We use risk averse stochastic dynamic programming and use the Conditional Value-at-Risk (CVaR) as our … Read more

    The optimal harvesting problem with price uncertainty

  • Bernardo K. Pagnoncelli
  • Adriana Piazza
    • Categories Dynamic Programming, Stochastic Programming Tags , , ,

    In this paper we study the exploitation of a one species forest plantation when timber price is governed by a stochastic process. The work focuses on providing closed expressions for the optimal harvesting policy in terms of the parameters of the price process and the discount factor. We assume that harvest is restricted to mature … Read more