Merton problem with one additional indivisible asset
Portfolio Management
2015-12-15 v1 Optimization and Control
Abstract
In this paper we consider a modification of the classical Merton portfolio optimization problem. Namely, an investor can trade in financial asset and consume his capital. He is additionally endowed with a one unit of an indivisible asset which he can sell at any time. We give a numerical example of calculating the optimal time to sale the indivisible asset, the optimal consumption rate and the value function.
Keywords
Cite
@article{arxiv.1403.3223,
title = {Merton problem with one additional indivisible asset},
author = {Jakub Trybuła},
journal= {arXiv preprint arXiv:1403.3223},
year = {2015}
}