Resource title

Utility duality under additional information: conditional measures versus filtration enlargements

Resource image

image for OpenScout resource :: Utility duality under additional information: conditional measures versus filtration enlargements

Resource description

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.

Resource author

Stefan Ankirchner

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25055

Resource license

Adapt according to the presented license agreement and reference the original author.