Optimal investment in development projects

Boaz Golany, Uriel G. Rothblum

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish
Pages (from-to)657-661
Number of pages5
JournalOperations Research Letters
Volume36
Issue number6
DOIs
StatePublished - Nov 2008

Keywords

  • Development projects
  • Optimal burn rates
  • Optimal stopping rules

ASJC Scopus subject areas

  • Software
  • Management Science and Operations Research
  • Industrial and Manufacturing Engineering
  • Applied Mathematics

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