Before revision: We study a multi-period Arrow-Debreu equilibrium in a heterogeneous economy populated by agents trading in a complete market. Each agent is represented by an exponential utility function, where additionally no negative level of consumption is permitted . We derive an explicit formula for the optimal consumption policies involving a put option depending on the state price density .
After revision: This paper investigates various aspects of the discrete-time exponential utility maximization problem, where feasible consumption policies 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 .