Abstract： 

We consider an infinitehorizon model of a riskneutral fundmanager who contemplates
in each period whether or not to make an irreversible investment which, if made, generates
some return under a stochastic environment. Here, the fundmanager evaluates uncertainty
by the Choquet expected utility with respect to a convex capacitary kernel and hence she
exhibits uncertainty aversion. We provide the exact solution to this problem and show that
it takes the form of a reservation strategy: There exists the reservation function such that
if the current return exceeds the value of this function, the fundmanager should invest
all the money subject to a cashinadvance constraint; if it does not, she should not make
any investment. We also conduct some sensitivity analyses to show that if risk increases
in the sense of meanpreserving spread, then the reservation function is raised and that if
uncertainty increases in the sense that the set of priors expands, then the reservation function
is lowered. 