Entropy and the Value of Information for Investors

• 成果类型: Article
• 署名作者: Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto
• 署名单位: Universidad Carlos III de Madrid; Paris School of Economics; Centre National de la Recherche Scientifique (CNRS); Brown University; Brown University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.103.1.360
• 发表日期: 2013
• 页码: 360-377
• 关键词: risk; aversion

摘要

Consider an investor who fears ruin when facing investments that satisfy no-arbitrage. Before investing he can purchase information about the state of nature as an information structure. Given his prior, information structure alpha investment dominates information structure beta if, whenever he is willing to buy beta at some price, he is also willing to buy alpha at that price. We show that this informativeness ordering is complete and is represented by the decrease in entropy of his beliefs, regardless of his preferences, initial wealth, or investment problem. We also show that no prior-independent informativeness ordering based on similar premises exists. (JEL D14, D81, D83, G11)