  In this article we consider a special case of an optimal consumption/optimal
portfolio problem first studied by Constantinides and Magill and by Davis and
Norman, in which an agent with constant relative risk aversion seeks to
maximise expected discounted utility of consumption over the infinite horizon,
in a model comprising a risk-free asset and a risky asset with proportional
transaction costs. The special case that we consider is that the cost of
purchases of the risky asset is infinite, or equivalently the risky asset can
only be sold and not bought.
  In this special setting new solution techniques are available, and we can
make considerable progress towards an analytical solution. This means we are
able to consider the comparative statics of the problem. There are some
surprising conclusions, such as consumption rates are not monotone increasing
in the return of the asset, nor are the certainty equivalent values of the
risky positions monotone in the risk aversion.
