Utility duality under additional information: conditional measures versus filtration enlargements

The utility maximisation problem is considered for investors with anticipative additional information. We distinguish between models with conditional measures and models with enlarged filtrations. The dual functions of the maximal expected utility are determined with the help of f-divergences. We assume that our measures are absolutely continuous with respect to a local martingale measure (LMM), but not necessarily equivalent. Thus we do not exclude arbitrage.

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Year of publication:	2005-05
Authors:	Ankirchner, Stefan
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	utility maximisation \| additional information \| enlargement of filtrations \| conditional measures \| convex conjugate function \| dual function \| f-divergence

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Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number SFB649DP2005-029 28 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D82 - Asymmetric and Private Information
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005207942