The price for instrumentally valuable information

Roxane Bricet

No 2018-10, THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

Abstract: In this article, I propose an experimental design to measure the value of instrumental information in a model-free setup. In particular, this study provides operating instructions to test Blackwell’s ranking of informative structures under risk and under ambiguity. Drawing on Ellsberg’s two-color thought experiment, the subject faces three different types of choice situations: simple risk, compound risk and ambiguity. The original experiment is modified by enabling the agent to observe random draws with replacement so that he can learn about the composition of the urns. The proposed design allows to estimate the value of signals that differ in their informativeness and how it relates to ambiguity attitudes.

Keywords: Value of Information; Ambiguity; Blackwell’s theorem; Reduction of Compound Lotteries; Ellsberg paradox; Experiment; Prince. (search for similar items in EconPapers)
JEL-codes: C91 D81 D83 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-cbe, nep-exp, nep-ict, nep-knm and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:ema:worpap:2018-10

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