Utility function quasi-geometric discounting: a closed-form solution under the exponential

• Autores: Serguei Maliar, Lilia Maliar
• Localización: Working papers = Documentos de trabajo: Serie AD, Nº. 16, 2003, 11 págs.
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen

  • This paper studies a discrete-time utility maximization problem of an infinitely-lived quasi-geometric consumer whose labor 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.