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

• 成果类型: Article
• 署名作者: De Lara, Michel; Gilotte, Laurent
• 署名单位: Institut Polytechnique de Paris; Ecole des Ponts ParisTech; Universite Paris Saclay; AgroParisTech; Institut Polytechnique de Paris; Ecole des Ponts ParisTech
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2007.01.014
• 发表日期: 2007
• 页码: 696-708
• 关键词: Value of information; marginal value of information at the null; Radner-Stiglitz nonconcavity

摘要

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 variation IIDV, 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. (c) 2007 Published by Elsevier Inc.