Another look at the Radner-Stiglitz nonconcavity in the value of information

• 成果类型: Article
• 署名作者: Chade, H; Schlee, EE
• 署名单位: Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1006/jeth.2001.2960
• 发表日期: 2002
• 页码: 421-452
• 关键词: Value of information; information acquisition; Radner-Stiglitz nonconcavity

摘要

This paper revisits the well-known result of R. Radner and J. Stiglitz (1984, in Bayesian Models of Economic Theory, Elsevier, Amsterdam) which shows that, under certain conditions, the value of information exhibits increasing marginal returns over some range. Their result assumes that both the number of states and the number of signal realizations are finite, assumptions which preclude most analyses of optimal information acquisition. We provide sufficient conditions that yield this nonconcavity in the value of information in a general framework; the role that these conditions play is clarified and illustrated with several examples. We also discuss the robustness of the nonconcavity result, and the difficulties involved in getting the value of information to be globally concave. (C) 2002 Elsevier Science (USA).