基于价格随机Faustmann模型的最优轮伐期决策方法及演进  

Decision‑making method and evolution of optimal rotation period based on the Faustmann model with stochastic price

作　　者：余智涵 张楠 杨红强[1,2,4] YU Zhihan;ZHANG Nan;YANG Hongqiang(College of Economics and Management,Nanjing Forestry University,Nanjing Jiangsu 210037,China;Research Center for Economics and Trade in Forest Products,NFGA,Nanjing Jiangsu 210037,China;Warnell School of Forestry and Natural Resources,University of Georgia,Athens Georgia 30602,USA;Research Center for the Yangtze River Delta’s Socioeconomic Development,Nanjing University,Nanjing Jiangsu 210093,China)

机构地区：[1]南京林业大学经济管理学院,江苏南京210037 [2]国家林业和草原局林产品经济贸易研究中心,江苏南京210037 [3]佐治亚大学沃内尔林业与自然资源学院,美国佐治亚州雅典30602 [4]南京大学长江三角洲经济社会发展研究中心,江苏南京210093

出　　处：《中国人口·资源与环境》2023年第10期211-220,共10页China Population,Resources and Environment

基　　金：国家自然科学基金面上项目“基于‘碳负债-碳偿还’的时间动态林业碳减排集成评估系统与测度”(批准号:72073064);江苏省“333高层次人才工程”科研项目“全球林产品贸易碳流动及碳减排潜力研究”(批准号:BRA2018070)。

摘　　要：可持续森林经营是应对气候变化的重要途径,最优轮伐期决策是可持续森林经营的重要条件。由于经典Faustmann模型关于林木生长和市场价格的静态假设在现实中无法得到满足,有必要使用动态模型根据市场状况灵活决策,从而在价格波动的市场中实现利润最大化的目标。作者以Faustmann模型经典框架为基础,归纳Faustmann模型的起源及演进,梳理随机价格问题在最优轮伐期决策上的研究动态。结果表明:①在现代资本市场理论中,随机过程是描述价格波动的重要模型,主要包括符合有效市场假说的几何布朗运动或符合完全竞争市场假设的均值回复过程,此外也可以基于经验价格数据的检验使用更为复杂的随机过程模型。②贴现现金流多用于静态Faustmann模型分析,但忽略了新信息对于决策的影响,而实物期权分析允许林地所有者进行动态分析,在每个决策点比较立即采伐与延迟采伐的预期收益、并根据市场状况随时调整经营策略以在风险中获利。③以即期收益价值与连续收益价值最大化为目标的贝尔曼方程是求解价格随机Faustmann模型的有效方法,而构建偏微分方程、蒙特卡洛模拟和马尔可夫决策过程则分别可以在价格服从正态分布、具有多个随机价格和价格具有马尔可夫性时有效求解贝尔曼方程。随机价格问题未来在最优轮伐期决策中的研究趋势还涉及以下几个方面:将Faustmann模型在气候变化背景下扩展至完整林业碳汇效益、使用包含机器学习在内的多种方法对木材及碳汇价格波动进行更加精确和合理的建模、在Faustmann模型中考虑包含资源风险和决策者偏好风险在内的多个风险来源。Sustainable forest management is an important way to deal with climate change,and optimal rotation period decision-making is an important condition for sustainable forest management.In the optimal rotation period decision-making process,the static assumptions of the classical Faustmann model about forest growth and market price cannot be satisfied.Therefore,it is necessary to clarify the fluctuation form of the price in the real market and use the dynamic model to make flexible decisions according to market conditions,so as to achieve the goal of maximizing profits in a market with fluctuating prices.Based on the classical framework of the Faustmann model,this paper summarizes the origin and evolution of this model and identifies the research trends of stochastic price in optimal rotation period decision-making.The results show that:①In modern capital market theory,the stochastic process is an important model to describe price fluctuations,which mainly includes geometric Brownian motion in accordance with the efficient market hypothesis or the mean reversion process in accordance with the perfect competitive market hypothesis.In addition,more complex stochastic process models can also be used based on the test of empirical price data.②Discounted cash flow is mostly used for static Faustmann model analysis,but it ignores the impact of new information on decision-making.Real option analysis allows forest owners to conduct dynamic analysis,compare the expected returns of immediate and delayed logging at each decision point,and adjust their business strategies at any time according to market conditions.③The Bellman equation,which aims at maximizing the immediate return value and the continuous return value,is an effective method to solve the Faustmann model with stochastic prices.The construction of partial differential equation,Monte Carlo simulation and Markov decision process can effectively solve the Bellman equation when the price follows a normal distribution,when there are multiple stochastic prices,and

关 键 词：最优轮伐期 Faustmann模型 价格不确定 随机过程 实物期权分析 

分 类 号：F307.2[经济管理—产业经济]