{"title":"Merton portfolio problem with one indivisible asset","authors":"Jakub Trybula","doi":"10.4467/20843828AM.15.005.3909","DOIUrl":null,"url":null,"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.","PeriodicalId":286833,"journal":{"name":"arXiv: Portfolio Management","volume":"149 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2014-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4467/20843828AM.15.005.3909","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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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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