其他摘要：This paper considers an optimal investment problem for a risk-averse entrepreneur facing stochastic demands to maximize the expectation of total consumption utility through consumption and business investment with costly reversibility. Utilizing dynamic stochastic control, we derive semi-closed-form solutions for the average value and marginal value of the capital and the corresponding optimal consumption and investment strategies in a non-risk-neutral world. The numeric results show that the risk attitude of the entrepreneur has a significant effect on the value of the capital and the optimal consumption strategy and investment decision.
