Merton portfolio problem with one indivisible asset
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RIS BIB ENDNOTEMerton portfolio problem with one indivisible asset
Data publikacji: 09.12.2015
Universitatis Iagellonicae Acta Mathematica, 2015, Tom 52, s. 45 - 56
https://doi.org/10.4467/20843828AM.15.005.3909Autorzy
Merton portfolio problem with one indivisible asset
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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Informacje: Universitatis Iagellonicae Acta Mathematica, 2015, Tom 52, s. 45 - 56
Typ artykułu: Oryginalny artykuł naukowy
Tytuły:
Merton portfolio problem with one indivisible asset
Merton portfolio problem with one indivisible asset
Instytut Matematyki, Uniwersytet Jagielloński, Kraków, Polska
Publikacja: 09.12.2015
Status artykułu: Otwarte
Licencja: Żadna
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