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摘要翻译：
我们为具有非负消费的指数效用框架提供了数学上的灵活性和新的见解，这是一个在文献中经常被忽略的约束，导致经济上不可行的解决方案。具体地说，利用Kuhn-Tucker定理和总状态价格密度的概念（Malamud and Trubowitz(2007))，我们在完全市场和不完全市场（具有随机禀赋）下给出了这个问题的解决方案。然后，我们利用这一结果给出了完全市场异质均衡的显式刻画。此外，我们构造了允许多个（包括无穷多个）平衡点的模型的具体例子。利用Cramer大偏差定理，我们研究了平衡零息票债券的渐近性。最后，我们对不完全市场下的预防性储蓄动机进行了研究。
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英文标题：
《Exponential utility with non-negative consumption》
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作者：
Roman Muraviev
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最新提交年份：
2019
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
We offer mathematical tractability and new insights for a framework of exponential utility with non-negative consumption, a constraint often omitted in the literature giving rise to economically unviable solutions. Specifically, 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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PDF链接：
https://arxiv.org/pdf/1106.3006
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