看跌期权下的风险规避型营林企业最优策略  

Strategies for risk⁃averse forestry enterprises under the put option contract

作　　者：杨梦 彭红军[1] YANG Meng;PENG Hongjun(College of Economics and Management,Nanjing Forestry University,Nanjing 210037,China)

机构地区：[1]南京林业大学经济管理学院,江苏南京210037

出　　处：《南京林业大学学报（自然科学版）》2023年第4期244-252,共9页Journal of Nanjing Forestry University：Natural Sciences Edition

基　　金：国家社会科学基金项目(17BGL236)。

摘　　要：【目的】在木材市场价格随机波动背景下,研究风险规避型营林企业购买看跌期权规避价格波动风险的有效性,为营林企业合理安排种植经营提供决策参考。【方法】运用条件风险价值(CVaR)度量准则,研究风险规避型营林企业在未购买期权和购买看跌期权下的最优策略,并对2种情形下的最优策略进行比较。【结果】营林企业种植规模、木材生产量以及条件风险价值均随风险规避程度的增加而减少,而单位面积蓄积量随风险规避程度的增加而增加。期权费补贴有利于提高营林企业种植规模,但会促使营林企业减少质量投入,进而降低种植林地的单位面积蓄积量。当期权执行价格较高时,营林企业种植规模、木材生产量以及条件风险价值均随期权执行价格的增加而增加,但单位面积蓄积量随期权执行价格的增加而减少。【结论】风险规避型营林企业通过购买看跌期权可以规避木材价格波动风险,降低自身风险规避行为带来的不利影响。政府给予期权费补贴的同时应采取配套措施和规范期权市场,鼓励营林企业增加质量投入,提高种植林地的单位面积蓄积量水平。【Objective】Under the background of random fluctuations in the wood market price,the effectiveness of purchasing put options to avoid the risk associated with such fluctuation was studied to generate risk⁃averse forestry enterprises and provide a decision⁃making reference.【Method】Based on the conditional value at risk(CVaR)measurement criteria,the optimal strategies of risk⁃averse forestry enterprises under the conditions of buying no options or buying put options were studied and the optimal strategies of two scenarios were compared.【Result】Planting scale,wood production,and the conditional risk value of forestry enterprises were found to decrease as risk aversion and unit area accumulation increases.Increasing the amount of option fee subsidies would likely expand the planting scale,but would reduce the enthusiasm to improve the unit area accumulation.Under the condition of a high option strike price,the planting scale,timber production and conditional values at risk would increase with the option strike price,while the unit area accumulation would likely decrease.【Conclusion】Fluctuating timber prices can be avoided and the adverse effects of risk aversion behavior can be reduced by purchasing put options to create risk⁃averse forestry enterprises.The government should take supporting measures and standardize the option market,encourage forestry enterprises to increase its quality input,and improve the unit area accumulation of planted forest land.

关 键 词：营林企业 看跌期权 风险规避 价格随机波动 

分 类 号：F326.25[经济管理—产业经济] F323.7