The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders
Year of publication: |
2005-05
|
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Authors: | Ankirchner, Stefan ; Dereich, Steffen ; Imkeller, Peter |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | enlargement of filtration | logarithmic utility | utility maximization | heterogeneous information | insider model | Shannon information | information difference | entropy | differential entropy |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2005-030 36 pages |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D82 - Asymmetric and Private Information |
Source: |
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The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders
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The Shannon information of filtrations and the additional logarithmic utility of insiders
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