The value of information in monotone decision problems

Susan Athey and Jonathan Levin

Research in Economics, 2018, vol. 72, issue 1, 101-116

Abstract: We study the information preferences and information demand of decision-makers facing uncertainty. We focus on monotone decision problems in which the posterior beliefs induced by the decision-maker’s information can be ordered so that higher actions are chosen in response to higher signal realizations. We provide necessary and sufficient conditions for decision makers with different classes of payoff functions to prefer one information structure to another. We also provide conditions under which two decision-makers in a given class can be ranked in terms of their information demand. Applications and examples are given.

Keywords: Bayesian decision problems; Uncertainty; Value of information; Stochastic dominance; Stochastic orderings (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (16)

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Related works:
Working Paper: The Value of Information In Monotone Decision Problems (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reecon:v:72:y:2018:i:1:p:101-116

DOI: 10.1016/j.rie.2017.01.001

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