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arXiv · 1403.3223

Merton problem with one additional indivisible asset

Jakub Trybuła
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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.

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Jakub Trybuła. 2014-03-13. Merton problem with one additional indivisible asset. https://doi.org/10.4467/20843828am.15.005.3909

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