QUASI-GEOMETRIC DISCOUNTING: A CLOSED-FORM SOLUTION UNDER THE EXPONENTIAL UTILITY FUNCTION

Lilia Maliar and Serguei Maliar

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: 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.

Keywords: quasi-geometric (quasi-hyperbolic) discounting; idiosyncratic shocks; closed-form solution (search for similar items in EconPapers)
Pages: 11 pages
Date: 2003-04
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Citations: View citations in EconPapers (1)

Published by Ivie

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http://www.ivie.es/downloads/docs/wpasad/wpasad-2003-16.pdf Fisrt version / Primera version, 2003 (application/pdf)

Related works:
Journal Article: Quasi‐geometric discounting: A closed‐form solution under the exponential utility function (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2003-16

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