  In this paper, we extend Kreps' conjecture that optimal expected utility in
the classic Black-Scholes-Merton (BSM) economy is the limit of optimal expected
utility for a sequence of discrete-time economies in initially enlarged
filtrations converge to the BSM economy in an initially enlarged filtration in
a "strong" sense. The n-th discrete-time economy is generated by a scaled
n-step random walk, based on an unscaled random variable with mean 0, variance
1, and bounded support. Moreover, the informed insider knows each functional
generating the enlarged filtrations path-by-path. We confirm Kreps' conjecture
in initially enlarged filtrations when the consumer's utility function U has
asymptotic elasticity strictly less than one.
