Information order in monotone decision problems under uncertainty
Jian Li and
Journal of Economic Theory, 2020, vol. 187, issue C
This paper examines the robustness of Lehmann's ranking of experiments (Lehmann, 1988) for decisionmakers who are uncertainty averse à la Cerreia-Vioglio et al. (2011). We show that, assuming commitment, for all uncertainty-averse indices satisfying some mild assumptions, Lehmann's informativeness ranking is equivalent to the induced uncertainty-averse value ranking of experiments for all agents with single-crossing vNM utility indices (Theorem 1). Moreover, Lehmann's ranking can also be detected by varying the uncertainty-averse indices for a fixed finite collection of vNM utility indices (Proposition 1). Our findings suggest that Lehmann's ranking can be a useful enrichment of Blackwell's ranking for monotone decision problems even if ambiguity is present. We apply our results to problems that include social aggregation of information preferences and investment decisions.
Keywords: Informativeness; Ambiguity aversion; Single-crossing property; Monotone comparative statics; Statistical decision theory (search for similar items in EconPapers)
JEL-codes: C44 D81 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:187:y:2020:i:c:s002205311830615x
Access Statistics for this article
Journal of Economic Theory is currently edited by A. Lizzeri and K. Shell
More articles in Journal of Economic Theory from Elsevier
Bibliographic data for series maintained by Catherine Liu ().