Optimal Sequential Investment Decisions Under Conditions of Uncertainty
构建了一个数学模型，研究投资者在资本有限且未来机会不确定时如何做出序贯投资决策，推导了最优策略并分析了环境变化的影响。
This paper presents a mathematical model of sequential investment behavior under conditions of uncertainty. The model addresses the problem of an investor with access to a limited pool of capital, who makes sequential decisions on long-lasting investments, under uncertainty as to the timing or the quality of future opportunities. We derive optimal investment strategies for the cases where the return from investment is a convex or concave function, we present closed form solutions for commonly adopted return functions, and we evaluate how the optimal investment behavior should change when changes occur in the environment, or the underlying probability distributions. In addition, we analyze three modifications of the problem. The results presented in this paper extend previous results on investment behavior for long-lasting (irreversible) decisions; in addition, some results are in accordance with existing ones from portfolio theory and/or search theory.