Sequential entry and exit decisions with an ergodic performance criterion

摘要

We consider a variant of an optimisation problem involving sequential entry and exit decisions that has emerged in the economics literature as a real option model. The problem that we solve aims at maximising an ergodic, or long-term average, performance criterion in a pathwise as well as in an expected sense. Such a performance index is probably better suited to decision making within a sustainable economic environment. Our results include a complete characterisation of the optimal strategy, which can take qualitatively different forms depending on the problem's data, as well as explicit expressions for the maximal value of the associated performance index.