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An Investment Model with Entry and Exit Decisions

Lookup NU author(s): Julia Duckworth, Dr Mihail Zervos

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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.

Publication metadata

Author(s): Duckworth JK, Zervos M

Publication type: Article

Publication status: Published

Journal: Journal of Applied Probability

Year: 2000

Volume: 37

Issue: 2

Pages: 547-559

Print publication date: 01/06/2000

ISSN (print): 0021-9002

ISSN (electronic): 1475-6072

Publisher: Applied Probability Trust

URL: http://www.jstor.org/stable/3215729

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