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Title:Utility duality under additional information: conditional measures versus filtration enlargements PDF Logo
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

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