Blackwell's informativeness ranking with uncertainty-averse preferences

• 成果类型: Article
• 署名作者: Li, Jian; Zhou, Junjie
• 署名单位: Universite de Montreal; McGill University; McGill University; Shanghai University of Finance & Economics
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2016.01.009
• 发表日期: 2016
• 页码: 18-29
• 关键词: Blackwell's theorem; garbling; ambiguity aversion; value of information

摘要

Blackwell (1951, 1953) proposes an informativeness ranking of experiments: experiment I is more Blackwell-informative than experiment II if and only if the value of experiment I is higher than that of experiment II for all expected-utility maximizers. Under commitment and reduction, our main theorem shows that Blackwell equivalence holds for all convex and strongly monotone preferences-i.e., uncertainty-averse preferences (Cerreia-Vioglio et al., 2011b), which nest most ambiguity-averse preferences commonly used in applications as special cases. (C) 2016 Elsevier Inc. All rights reserved.