A Variety Of Assets Investment Timing Optimization Model

The decision-making problem of item investment timing is a very hot topic presently. Under the assumption that costs and item value follow a geometric motion, huang wei(2002) Study the problem of investment timing by using optimal stopping theory. But in today's world, because one item has many product and every product follows a geometric motion independently to certain extent, the thesis assumes that item value follow n geometric motions and costs alse follow a geometric motion in order to practical meaning to study the problem of many assets' investment timing by using optimal stopping theory. The thesis contains two parts. In the first part of this thesis we give the precise stopping region. In the second part of this thesis we give optimal investment timing , net value have related with return flow and costs.Firstly, we deduce that the stopping region contains some halfspace by using the result of [30].Secondly, when investment costs in the thesis of [30] is not deposing but costs flow, we Study how to find the optimal investment timing. Firstly, an optimal stopping model for investment timing is established. Then a candidate solution is obtained by using high contact principle to solve a free bounded problem, and it is the optimal solution which is verified by optimal stopping theory, the optimal investment timing is given explicitly. Then we deduce the result that the stopping region is contained in some halfspace.Thirdly, we obtain an explicit stopping region in some condition when two halfspaces are the same under additional assumptions.Fourly, We deduce relationship between optimal investment timing, net value with return flow and costs.