A tight sufficient condition for Radner-Stiglitz nonconcavity in the value of information |
| |
Authors: | Michel De Lara Laurent Gilotte |
| |
Institution: | a CERMICS, École des ponts, Paris Tech, 77455 Marne la Vallée Cedex 2, France b CIRED, 94736 Nogent-sur-Marne Cedex, France |
| |
Abstract: | This paper deals with the existence of a nonconcavity in the value of information, as was first explained by Radner and Stiglitz A nonconcavity in the value of information, in: M. Boyer, R.E. Kihlstrom (Eds.), Bayesian Models in Economic Theory, Elsevier Science Publishers, Amsterdam, 1984, pp. 33-52 (Chapter 3)]. After defining infinitesimal information distance variationIIDV, we find that IIDV=0 is sufficient for a zero marginal value of information at the null. This is a condition only on the information structure and in particular is independent of the decision maker's preferences. This condition is tight: when IIDV>0, there exists a payoff function for which the marginal value of information at the null is positive under general assumptions. |
| |
Keywords: | D830 |
本文献已被 ScienceDirect 等数据库收录! |
|