Merton problem with one additional indivisible asset

Jakub Trybu{\l}a

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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.

Date: 2014-03
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Published in Universitatis Iagellonicae Acta Mathematica, 52 (2014), 45-56

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1403.3223

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