Before revision: This paper investigates various aspects of the discrete-time exponential utility maximization problem with non-negative consumption . Using the Kuhn-Tucker theorem and the notion of aggregate state price density (Malamud and Trubowitz (2007)), we provide a solution to this problem in the setting of both complete and incomplete markets (with random endowments).
After revision: This paper investigates various aspects of the discrete-time exponential utility maximization problem with non-negative consumption , a constraint often omitted in the literature giving rise to economically unviable solutions. Specifically, using the Kuhn-Tucker theorem and the notion of aggregate state price density (Malamud and Trubowitz (2007)), we provide a solution to this problem in the setting of both complete and incomplete markets (with random endowments).