An investment model with entry and exit decisions

J. Kate Duckworth · Mihail Zervos

40 citations0/0 files storedJournal of Applied Probability

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Capital Investment and Risk Analysis Stochastic processes and financial applications Optimization and Search Problems

Abstract

We consider an investment model which generalizes a number of models that have been studied in the literature. The model involves entry and exit decisions as well as decisions relating to production scheduling. We then address the problem of its valuation from the standpoint of the dynamic programming approach. Our analysis results in a closed form analytic solution that can take qualitatively different forms depending on parameter values.

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References

1994Investment Under Uncertainty.1994Investment under Uncertainty 2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1985Evaluating Natural Resource Investments 1989Entry and Exit Decisions under Uncertainty 1991Continuous Martingales and Brownian Motion 1988Brownian Motion and Stochastic Calculus

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