Before revision: This paper investigates various aspects of the discrete-time exponential utility maximization problem , where feasible consumptionpolicies are not permitted to be negative. By using the Kuhn-Tucker theorem , some ideas from convex analysis and the notion of aggregate state price density  , 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. Using the Kuhn-Tucker theorem , some ideas from convex analysis and the notion of aggregate state price density , we provide a solution to this problem , in the setting of both complete and incomplete markets (with random endowments).