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). Then, we exploit this result and use certain fixed-point techniques to provide an explicit characterization of a heterogeneous equilibrium in a complete market setting. Moreover , we construct concrete examples of models admitting multiple (including infinitely many) equilibria. By using Cramer's large deviation theorem, we study the asymptotic behavior of endogenously determined in equilibrium prices of zero coupon bonds. Lastly, we show that for incomplete markets, un-insurable future income reduces the current consumption level, thus confirming the presence of the precautionary savings motive in our model .
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). Then, we exploit this result to provide an explicit characterization of complete market heterogeneous equilibria. Furthermore , we construct concrete examples of models admitting multiple (including infinitely many) equilibria. By using Cramer's large deviation theorem, we study the asymptotics of equilibrium zero coupon bonds. Lastly, we conduct a study of the precautionary savings motive in incomplete markets .
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, where feasible consumptionpolicies are not permitted to be negative. By using
with non-negative consumption. Using
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, some ideas from convex analysis
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(Malamud and Trubowitz (2007))
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,
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and use certain fixed-point techniques
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a heterogeneous equilibrium in a complete market setting. Moreover
complete market heterogeneous equilibria. Furthermore
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asymptotic behavior of endogenously determined in equilibrium prices of
asymptotics of equilibrium
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show that for incomplete markets, un-insurable future income reduces the current consumption level, thus confirming the presence
conduct a study
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our model
incomplete markets