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The Value of Information in Monotone Decision Problems
J.D.Levin, S.C.Athey
Massachusetts Institute of Technology Department of Economics Working Paper Series.
Ноябрь
2001.
No. 98-24.
This paper studies decision problems under uncertainty where a decision-maker observes
an imperfect signal about the true state of the world. We analyze the information
preferences and information demand of such decision-makers, based on properties of
their payoff functions. We restrict attention to "monotone decision problems," whereby
the posterior beliefs induced by the signal can be ordered so that higher actions
are chosen in response to higher signal realizations. Monotone decision problems
are frequently encountered in economic modeling. We provide necessary and sufficient
conditions for all decision makers with different classes of payoff functions to
prefer one information structure to another. We also provide conditions under which
two decision-makers in a given class can be ranked in terms of their marginal value
for information and hence information demand. Applications and examples are given.
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