A tight sufficient condition for Radner-Stiglitz nonconcavity in the value of information

Michel de Lara () and L. Gilotte
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Michel de Lara: CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École nationale des ponts et chaussées
L. Gilotte: CIRED - centre international de recherche sur l'environnement et le développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - EHESS - École des hautes études en sciences sociales - AgroParisTech - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique

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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. © 2007.

Keywords: Value; of; information (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (7)

Published in Journal of Economic Theory, 2007, 137 (1), pp.696. ⟨10.1016/j.jet.2007.01.014⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00716396

DOI: 10.1016/j.jet.2007.01.014

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