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The Value Of A Stochastic Information Structure

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Author Info

  • Yaron Azrieli

    (Tel Aviv University)

  • Ehud Lehrer

    (Tel Aviv University)

Abstract

Upon observing a signal, a Bayesian decision maker updates her probability distribution over the state space, chooses an action, and receives a payoff that depends on the state and the action taken. An information structure determines the set of possible signals and the probability of each signal given a state. For a fixed decision problem (consisting of a state space, action set and utility function) the value of an information structure is the maximal expected utility that the decision maker can get when the observed signals are governed by this structure. This note studies the functions defined over information structures that measure their value. It turns out that two conditions play a major role in the characterization of these functions: additive separability and convexity.

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File URL: http://128.118.178.162/eps/game/papers/0411/0411006.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Game Theory and Information with number 0411006.

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Length: 17 pages
Date of creation: 16 Nov 2004
Date of revision:
Handle: RePEc:wpa:wuwpga:0411006

Note: Type of Document - pdf; pages: 17
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Web page: http://128.118.178.162

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Keywords: Information structure; value of information; stochastic information;

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References

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  1. Gilboa, Itzhak & Lehrer, Ehud, 1991. "The value of information - An axiomatic approach," Journal of Mathematical Economics, Elsevier, vol. 20(5), pages 443-459.
  2. Eliaz, Kfir & Spiegler, Ran, 2006. "Can anticipatory feelings explain anomalous choices of information sources?," Games and Economic Behavior, Elsevier, vol. 56(1), pages 87-104, July.
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Cited by:
  1. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2011. "Entropy and the value of information for investors," PSE Working Papers halshs-00648884, HAL.
  2. Eran Shmaya, 2006. "The Value of Information Structures in Zero-sum Games with Lack of Information on One Side," International Journal of Game Theory, Springer, vol. 34(2), pages 155-165, August.
  3. repec:hal:wpaper:halshs-00648884 is not listed on IDEAS
  4. repec:hal:journl:halshs-00390625 is not listed on IDEAS

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