Schweizer, Martin; Becherer, Dirk; Amendinger, Jürgen - In: Finance and Stochastics 7 (2003) 1, pp. 29-46
We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information ${\cal G}$. His subjective fair value of this information is defined...