Optimal investment in development projects

Optimal investment in development projects

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Article ID: iaor20102904
Volume: 36
Issue: 6
Start Page Number: 657
End Page Number: 661
Publication Date: Nov 2008
Journal: Operations Research Letters
Authors: ,
Abstract:

We consider investments in development projects within competitive environments where the ‘winner takes everything’. Under stationary uncertainty, it is optimal to start investing immediately at full capacity and continue until exhausting the allocated budget. For non-stationary environments, active investment, possibly deferred, will always be at full capacity; an example demonstrates that further tractable structure may not be available.

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