Multi-factor Dynamic Investment under Uncertainty
刻画了企业在面临多要素“扭结”线性调整成本时的最优投资策略，发现最优策略遵循控制限政策，并将状态空间划分为包括不调整区域的多个域。
We characterize a firm's optimal factor adjustment when any number of factors face “kinked” linear adjustment costs so that all factor accumulation is costly to reverse. We first consider a general non-stationary case with a concave operating profit function, unrestricted form of uncertainty and a horizon of arbitrary length. We show that the optimal investment strategy follows a control limit policy at each point in time. The state space of the firm's problem is partitioned into various domains, including a continuation region where no adjustment should optimally be made to factor levels. We then consider two specific model classes and exploit their special structure to derive expressions for their continuation regions.Journal of Economic LiteratureClassification Numbers: D92, E22, E24.