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Acquisition d’information dans un modèle intertemporel en temps continu

Author

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  • Detemple, Jérôme B.

    (Professeur associé de finance, Columbia University)

  • Kihlstrom, Richard E.

    (Professeur d’économie et de finance, University of Pennsylvania)

Abstract

In this paper we examine the demand for information and the value of information in an intertemporal continuous time model. The model analyzed is a model with incomplete information where the information technology is controlled by the investor at a cost. The continuous bayesian updating of beliefs yields, for the information structure postulated, a posterior conditional distribution that is Gaussian at any point in time. The control of the information technology is equivalent to the control of the estimator of the state variable (conditional mean) and of the precision of this estimator (conditional variance). The demand for information is composed of two terms which result from the conflict between two subjects of learning. Under an assumption on the supply of precision, we derive and analyze the equilibrium price of information. Cet article examine la demande d’information et la valeur de l’information dans un modèle intertemporel en temps continu. Le modèle étudié est un modèle à information incomplète où la technologie d’information est contrôlée par l’investisseur moyennant un coût. Le mécanisme bayésien continu de révision des croyances produit, pour cette structure, une distribution postérieure gaussienne à tout point du temps. Le contrôle de la technologie d’information est équivalent au contrôle de l’estimateur de la position de la variable d’état (espérance conditionnelle) ainsi que de la précision de cet estimateur (variance conditionnelle). La demande d’information, dans notre modèle, se compose de deux termes, qui résultent du conflit entre deux objets d’apprentissage. Sous l’hypothèse d’une offre de précision stochastique et inélastique, le prix d’équilibre de l’information est dérivé et sa structure analysée.

Suggested Citation

  • Detemple, Jérôme B. & Kihlstrom, Richard E., 1987. "Acquisition d’information dans un modèle intertemporel en temps continu," L'Actualité Economique, Société Canadienne de Science Economique, vol. 63(2), pages 118-137, juin et s.
  • Handle: RePEc:ris:actuec:v:63:y:1987:i:2:p:118-137
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    References listed on IDEAS

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    1. Verrecchia, Robert E, 1982. "Information Acquisition in a Noisy Rational Expectations Economy," Econometrica, Econometric Society, vol. 50(6), pages 1415-1430, November.
    2. Danthine, Jean-Pierre & Magill, Michael J. P., 1985. "Investment in information acquisition," Economics Letters, Elsevier, vol. 19(3), pages 221-225.
    3. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    4. Dothan, Michael U & Feldman, David, 1986. " Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy," Journal of Finance, American Finance Association, vol. 41(2), pages 369-382, June.
    5. Kihlstrom, Richard, 1974. "A general theory of demand for information about product quality," Journal of Economic Theory, Elsevier, vol. 8(4), pages 413-439, August.
    6. Kihlstrom, Richard E, 1974. "A Bayesian Model of Demand for Information About Product Quality," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 99-118, February.
    7. Milgrom, Paul & Weber, Robert J., 1982. "The value of information in a sealed-bid auction," Journal of Mathematical Economics, Elsevier, vol. 10(1), pages 105-114, June.
    8. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
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    Cited by:

    1. Chacko, George & Das, Sanjiv Ranjan, 1999. "A theory of optimal timing and selectivity," Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 929-965, June.

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