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Merton problem with one additional indivisible asset (1403.3223v1)
Published 13 Mar 2014 in q-fin.PM and math.OC
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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