The Appeal of Information Transactions

Antonio Cabrales, Olivier Gossner and Roberto Serrano

No 2012-13, Working Papers from Brown University, Department of Economics

Abstract: An information transaction entails the purchase of information. Formally, it consists of an information structure together with a price. We develop an index of the appeal of information transactions, which is derived as a dual to the agent's preferences for information. The index of information transactions has a simple analytic characterization in terms of the relative entropy from priors to posteriors, and it also connects naturally with a recent index of riskiness.

Keywords: informativeness; information transactions; Kullback-Leibler di- vergence; relative entropy; decision under uncertainty; investment; Blackwell ordering. (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-mic
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Citations: View citations in EconPapers (4)

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Working Paper: The Appeal of Information Transactions (2012)
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