Estimation of investment project profitability in the modified Cantor-Lipman model (Q736190)

The author considers a model of investment activities in which financial flows arrive at discrete instants with a uniform unit step \(t=0,1,\dots\). An investment project is described by the vector \(a=\{a_0,a_1,\dots,a_{r}\}\) of financial flows at successive instants, where \(1\leq r<\infty\) is the project realization duration. The investor's financial state is described by the vector \(s(t)\in R^{n+1}\), whose component \(i\) is equal to the money balances at the instant \((t+i)\) provided that any new projects have not been started from the instant \(t\). Let us denote the rate of investments in the project at the instant \(t\) by \(u(t)\), then the financial state dynamics is described by the equation \(s(t+1)=A(s(t)+u(t)b)\), where \(b=(b_0,b_1,\dots,b_{r})^{T}\), \(b_{i}=\sum_{j=0}^{i}a_{j}\) and \(A_{(r+1)\times(r+1)}\) is some special matrix. The self-financing conditions are assumed. Also it is assumed that at any instant two events are possible, namely, either the project remains, as before, accessible for investments or the project is closed and, then the investor must complete all the investment projects started before without opening any new projects. It is assumed that the probability of the latter event is \(\Delta=\) const. Let \(V(s)\) be the Bellman function that estimates the best investment result under the conditions described above at the initial financial state \(s\). Then we have \(V(s)=\max_{\{u|\;u\geq 0,s+ub\geq0\}}[\Delta(s+ub)_{r}+(1-\Delta)V(A(s+ub))]\). The profitability of investment projects in the considered model is analyzed. The possibility of estimating of the investment project profitability by searching for periodic trajectories is investigated. The necessary and sufficient conditions for the existence of the trajectory with period 2 are derived.