This paper examines the problem of choice investment strategies of firms in an oligopoly markets. We study the impact of investment strategies of companies on its financial performance and the efficiency of investment under demand uncertainty and competition in the market. A mathematical model describing the investment behavior of firms in an oligopoly markets presented. A solution of the problem reduced to the analysis of the bi-matrix game, wherein the matrix of wins formed by numerical simulation. We presented and analyzed the results of calculations of the proposed approach for example the problem of investment strategies choice of oil companies with conventional and unconventional oil production.