Quasi-geometric discounting: A closed-form solution under the exponential utility function
AbstractThis paper studies a discrete-time utility maximization problem of an infinitely-lived quasi-geometric consumer whose labour income is subject to uninsurable idiosyncratic productivity shocks. We restrict attention to a first-order Markov recursive solution. We show that under the assumption of the exponential utility function, the problem of the quasi-geometric consumer admits a closed-form solution. Copyright Blackwell Publishers Ltd and the Board of Trustees of the Bulletin of Economic Research, 2004.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Bulletin of Economic Research.
Volume (Year): 56 (2004)
Issue (Month): 2 (04)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0307-3378
Other versions of this item:
- Lilia Maliar & Serguei Maliar, 2003. "Quasi-Geometric Discounting: A Closed-Form Solution Under The Exponential Utility Function," Working Papers. Serie AD 2003-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- D91 - Microeconomics - - Intertemporal Choice - - - Intertemporal Household Choice; Life Cycle Models and Saving
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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