Information order in monotone decision problems under uncertainty

• 成果类型: Article
• 署名作者: Li, Jian; Zhou, Junjie
• 署名单位: Iowa State University; National University of Singapore
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105012
• 发表日期: 2020
• 关键词: Informativeness; ambiguity aversion; Single-crossing property; monotone comparative statics; Statistical decision theory

摘要

This paper examines the robustness of Lehmann's ranking of experiments (Lehmann, 1988) for decision-makers who are uncertainty averse a 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. (C) 2020 Elsevier Inc. All rights reserved.