An investment model with entry and exit decisions

Citation
Jk. Duckworth et M. Zervos, An investment model with entry and exit decisions, J APPL PROB, 37(2), 2000, pp. 547-559
Citations number
14
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF APPLIED PROBABILITY
ISSN journal
00219002 → ACNP
Volume
37
Issue
2
Year of publication
2000
Pages
547 - 559
Database
ISI
SICI code
0021-9002(200006)37:2<547:AIMWEA>2.0.ZU;2-2
Abstract
We consider an investment model which generalizes a number of models that h ave been studied in the literature. The model involves entry and exit decis ions as well as decisions relating to production scheduling. We then addres s the problem of its valuation from the standpoint of the dynamic programmi ng approach. Our analysis results in a closed form analytic solution that c an take qualitatively different forms depending on parameter values.