Quasi‐geometric discounting: A closed‐form solution under the exponential utility function

Lilia Maliar and Serguei Maliar

Bulletin of Economic Research, 2004, vol. 56, issue 2, 201-206

Abstract: This 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.

Date: 2004
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https://doi.org/10.1111/j.1467-8586.2004.00197.x

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Working Paper: QUASI-GEOMETRIC DISCOUNTING: A CLOSED-FORM SOLUTION UNDER THE EXPONENTIAL UTILITY FUNCTION (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:buecrs:v:56:y:2004:i:2:p:201-206

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