Correction for Sega to enter the console war solo using the same business model as say Microsoft or Sony isn't feasible. That however doesn't preclude a more conservative approach, a joint venture, or aggressive borrowing. All of which are fairly possible. We have to remember that how Sony, Microsoft, and Nintendo affect the market basically makes for a long list of rivals who would be very interested in making the waters muddy, or stripping these companies of a revenue stream.
Sega basically has a lot of options if they are serious about reversing their downward spiral. They could opt for the approach Nintendo has been using for generations. That being proven simple technology sold at a profit from launch. They could leverage their holdings in favor of large loans. Remember even Sony took out seven hundred million dollars in loans prior to launching the PS3. They could find ready partners that are willing to share the risk. Companies like Toshiba, Samsung, and Panasonic for instance. All of which could use a new product line, and would greatly like to use a consoles trojan horse strategy for technology in the same way that Sony has for BluRay, or Nintendo has for portable devices.
Bottom line the console market is very coveted. So there is ample motivation, and it is looking more and more like a key cornerstone to an effective product lineup. So yes Sega can bring a console to market. They have a whole slew of ways to bring it to market. The only difference for Sega as compared to the other three is margin of error. They will be given little slack by the market. Given that they don't have a proven track record. So they would need to be flawless in implementation they can't languish for six to eight months. Nor can they get by with anything less then a twenty percent market share within their first year on market. This just to ensure retail space.
Sega could actually launch a console, or let me put it this way it isn't a impossible outcome. Every company wants to be in a position to grow dramatically, and there is a potential. Whether they have the massive balls to actually shoot for the moon is another question entirely. Remember the greater the risk the greater the reward. People were down on both Microsoft and Nintendo prior to this generation, but they had the conviction. Sometimes all you need is the will to make something happen. There are always a lot of ways to make it happen.
