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A Class of Stochastic Investment Problems

Author

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  • James L. Fisher

    (Operations Research Group, Case Institute of Technology, Cleveland, Ohio)

Abstract

A decision maker, faced with investment opportunities that occur throughout time, must, when confronted with a particular investment, decide whether to accept the investment. The problem of determining optimal decision rules under these conditions is formulated as a stochastic process that can be analyzed by the functional equation of dynamic programming. Some simple investment problems involving a decision maker with fixed assets are formulated and for a specific example, solved numerically. As an extension of these simple situations, a problem based on a business application of investing a stream of assets is solved and optimal decision rules are presented.

Suggested Citation

  • James L. Fisher, 1961. "A Class of Stochastic Investment Problems," Operations Research, INFORMS, vol. 9(1), pages 53-65, February.
    • Handle: RePEc:inm:oropre:v:9:y:1961:i:1:p:53-65
    DOI: 10.1287/opre.9.1.53
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    Cited by:

    1. Churlzu Lim & J. Neil Bearden & J. Cole Smith, 2006. "Sequential Search with Multiattribute Options," Decision Analysis, INFORMS, vol. 3(1), pages 3-15, March.

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