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Merton problem with one additional indivisible asset

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.
Year of publication:
2014-03
Authors: Jakub Trybu{\l}a
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10011141308
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