Merton problem with one additional indivisible asset

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.

References in corpus (2)

• An explicit solution for an optimal stopping/optimal control problem which models an asset sale
• Liquidation of an indivisible asset with independent investment