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2005-05-27Buch DOI: 10.18452/3895
Utility Duality under Additional Information
dc.contributor.authorAnkirchner, Stefan
dc.date.accessioned2017-06-15T22:55:39Z
dc.date.available2017-06-15T22:55:39Z
dc.date.created2005-09-01
dc.date.issued2005-05-27
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4547
dc.description.abstractThe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectenlargement of filtrationseng
dc.subjectutility maximisationeng
dc.subjectadditional informationeng
dc.subjectconditional measureseng
dc.subjectconvex conjugate functioneng
dc.subjectdual functioneng
dc.subjectf-divergenceeng
dc.subject.ddc330 Wirtschaft
dc.titleUtility Duality under Additional Information
dc.typebook
dc.subtitleConditional Measures versus Filtration Enlargements
dc.identifier.urnurn:nbn:de:kobv:11-10045496
dc.identifier.doihttp://dx.doi.org/10.18452/3895
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages28
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2005
local.edoc.container-issue29
local.edoc.container-year2005
local.edoc.container-erstkatid2195055-6

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