Abstract
We consider the problem of a firm that in each cycle of a planning horizon builds inventory of identical items that it acquires by participating in auctions in order to satisfy its own market demand. The firm's objective is to have a procurement strategy that maximizes the expected present value of the profit for an infinite planning horizon of identical cycles. We formulate this problem as a Markov decision process. We establish monotonicity properties of the value function and of the optimal bidding rule.