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Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2005,029
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
utility maximisation
additional information
enlargement of filtrations
conditional measures
convex conjugate function
dual function
f-divergence
Dokumentart: 
Working Paper

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