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
Authors:	Ankirchner, Stefan
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	utility maximisation \| additional information \| enlargement of filtrations \| conditional measures \| convex conjugate function \| dual function \| f-divergence

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Series:	SFB 649 Discussion Paper ; 2005-029
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	501730672 [GVK] hdl:10419/25055 [Handle] RePEc:zbw:sfb649:sfb649dp2005-029 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010263595