Before revision: We study an optimization problem for a portfolio with a risk-free, a liquid risky , and an illiquid asset which is sold in an exogenous random moment of time with a prescribed liquidation time distribution.
After revision: We study an optimization problem for a portfolio with a risk-free, a liquid risky , and an illiquid risky asset. The illiquid risky asset is sold in an exogenous random moment of time with a prescribed liquidation time distribution.