Utility Duality under Additional Information : Conditional Measures versus FiltrationEnlargements
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 notnecessarily equivalent. Thus we do not exclude arbitrage.