Utility duality under additional information: conditional measures versus filtration enlargements
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.
|Date of creation:||May 2005|
|Date of revision:|
|Contact details of provider:|| Postal: Spandauer Str. 1,10178 Berlin|
Web page: http://sfb649.wiwi.hu-berlin.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Amendinger, Jürgen & Imkeller, Peter & Schweizer, Martin, 1998. "Additional logarithmic utility of an insider," SFB 373 Discussion Papers 1998,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Duffie, Darrell & Huang, Chi-fu, 1986. "Multiperiod security markets with differential information : Martingales and resolution times," Journal of Mathematical Economics, Elsevier, vol. 15(3), pages 283-303, June.
- Amendinger, Jürgen & Imkeller, Peter & Schweizer, Martin, 1998. "Additional logarithmic utility of an insider," Stochastic Processes and their Applications, Elsevier, vol. 75(2), pages 263-286, July.
- Stefan Ankirchner & Steffen Dereich & Peter Imkeller, 2005. "The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders," SFB 649 Discussion Papers SFB649DP2005-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- José Mª Corcuera & Peter Imkeller & Arturo Kohatsu & David Nualart, 2003. "Additional utility of insiders with imperfect dynamical information," Economics Working Papers 675, Department of Economics and Business, Universitat Pompeu Fabra.
- Martin Schweizer & Dirk Becherer & Jürgen Amendinger, 2003. "A monetary value for initial information in portfolio optimization," Finance and Stochastics, Springer, vol. 7(1), pages 29-46.
- Anne Gundel, 2005. "Robust utility maximization for complete and incomplete market models," Finance and Stochastics, Springer, vol. 9(2), pages 151-176, 04.
When requesting a correction, please mention this item's handle: RePEc:hum:wpaper:sfb649dp2005-029. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RDC-Team)
If references are entirely missing, you can add them using this form.