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.

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Year of publication:	2005-05-27
Authors:	Ankirchner, Stefan
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Information \| information \| Dualität \| Nutzenmaximierung \| Filtration \| filtration

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Extent:	453632 bytes 28 p. application/pdf
Series:	Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere Diskussionspapier ; 2005-029
Type of publication:	Book / Working Paper
Language:	English
ISSN:	1860-5664
Classification:	Others ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

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