A normalized value for information purchases

• 成果类型: Article
• 署名作者: Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto
• 署名单位: University of London; University College London; Institut Polytechnique de Paris; Ecole Polytechnique; Centre National de la Recherche Scientifique (CNRS); University of London; London School Economics & Political Science; Brown University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2017.05.007
• 发表日期: 2017
• 页码: 266-288
• 关键词: Informativeness; Information purchases; Kullback-Leibler divergence; relative entropy; No-arbitrage investment; Blackwell ordering

摘要

Consider agents who are heterogeneous in their preferences and wealth levels. These agents may acquire information prior to choosing an investment that has a property of no-arbitrage, and each piece of information bears a corresponding cost. We associate a numeric index to each information purchase (information-cost pair). This index describes the normalized value of the information purchase: it is the risk-aversion level of the unique CARA agent who is indifferent between accepting and rejecting the purchase, and it is characterized by a duality principle that states that agents with a stronger preference for information should engage more often in information purchases. No agent more risk-averse than the index finds it profitable to acquire the information, whereas all agents less risk-averse than the index do. Given an empirically measured range of degrees of risk aversion in a competitive economy with no-arbitrage investments, our model therefore comes close to describing an inverse demand for information, by predicting what pieces of information are acquired by agents and which ones are not. Among several desirable properties, the normalized-value formula induces a complete ranking of information structures that extends Blackwell's classic ordering. (C) 2017 Elsevier Inc. All rights reserved.