The Shannon information of filtrations and the additional logarithmic utility of insiders
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References listed on IDEAS
- Axel Grorud & Monique Pontier, 1998. "Insider Trading in a Continuous Time Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 331-347.
- 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.
- 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.
- Imkeller, Peter & Pontier, Monique & Weisz, Ferenc, 2001. "Free lunch and arbitrage possibilities in a financial market model with an insider," Stochastic Processes and their Applications, Elsevier, vol. 92(1), pages 103-130, March.
- 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," SFB 373 Discussion Papers 1998,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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- repec:hum:wpaper:sfb649dp2005-029 is not listed on IDEAS
- Ankirchner, Stefan, 2005. "Utility duality under additional information: Conditional measures versus filtration enlargements," SFB 649 Discussion Papers 2005-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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Keywords
enlargement of filtration; logarithmic utility; utility maximization; heterogeneous information; insider model; Shannon information; information difference; entropy; differential entropy;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2005-12-01 (Utility Models and Prospect Theory)
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