Optimal Sequential Investment When Capital is Not Readily Reversible
研究企业在投资机会逐一到来且不可完全逆转时，如何制定最优投资策略。模型将投资决策视为马尔可夫奖励过程，推导出寡头垄断企业（价格领导者）在勘探项目中的最优决策规则，并分析其性质。
ABSTRACT When investment opportunities arrive one at a time and are reviewed sequentially, a corporation's optimal policy differs from a standard net present value rule if the corporation exercises control over an industry state variable and control is costly. The first condition presupposes a degree of market power for the firm; the second occurs if corporate investment decisions are imperfectly reversible. To address the problem of optimal investment in this context, a firm's investment decisions are modeled as a Markov reward process. The causes of economic irreversibility are discussed and general propositions concerning the optimal investment policy are derived. These propositions are then applied to the optimization of an exploration program by an oligopolistic firm (a price leader). Under particular demand and distributional assumptions, solutions for the optimal decision rule and the value of the exploration program are obtained and their properties examined.