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An instrumental approach to the value of information

Author

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  • Michel De Lara

    (CERMICS, ENPC; Université Paris Est)

  • Olivier Gossner

    (CREST; Ecole Polytechnique; London School of Economics)

Abstract

We consider an agent who acquires information on a state of nature from an information structure before facing a decision problem. How much information is worth depends jointly on the decision problem and on the information structure. We represent the decision problem by the set of possible payoffs indexed by states of nature. We establish and exploit the duality between this set on one hand and the value of information function, which maps beliefs to expected payoffs under optimal actions at these beliefs, on the other. We then derive global estimates of the value of information of any information structure from local properties of the value function and of the set of optimal actions taken at the prior belief only.

Suggested Citation

  • Michel De Lara & Olivier Gossner, 2017. "An instrumental approach to the value of information," Working Papers 2017-49, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2017-49
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    References listed on IDEAS

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    2. Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2013. "Entropy and the Value of Information for Investors," American Economic Review, American Economic Association, vol. 103(1), pages 360-377, February.
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    6. Cabrales, Antonio & Gossner, Olivier & Serrano, Roberto, 2017. "A normalized value for information purchases," Journal of Economic Theory, Elsevier, vol. 170(C), pages 266-288.
    7. Azrieli, Yaron & Lehrer, Ehud, 2008. "The value of a stochastic information structure," Games and Economic Behavior, Elsevier, vol. 63(2), pages 679-693, July.
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    Cited by:

    1. Ehud Lehrer & Tao Wang, 2022. "The Value of Information in Stopping Problems," Papers 2205.06583, arXiv.org.
    2. Gossner, Olivier & Steiner, Jakub, 2018. "On the cost of misperception: General results and behavioral applications," Journal of Economic Theory, Elsevier, vol. 177(C), pages 816-847.

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