|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25055
|
| | |
| Title: | | Utility duality under additional information: conditional measures versus filtration enlargements  |
| Authors: | | Ankirchner, Stefan |
| Issue Date: | | 2005 |
| Series/Report no.: | | SFB 649 discussion paper 2005,029 |
| Abstract: | | 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. |
| Subjects: | | utility maximisation additional information enlargement of filtrations conditional measures convex conjugate function dual function f-divergence |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/25055
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|