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The Value of Information - An Axiomatic Approach

Author

Listed:
  • Itzhak Gilboa

    (Northwestern University [Evanston])

  • Ehud Lehrer

    (Northwestern University [Evanston])

Abstract

The following question is addressed: Given a real-valued function on the partitions of a measure space, what are necessary and sufficient conditions in order that it be the value of information function for a Bayesian decision maker? A characterization is provided, and the analysis reveals a close relationship to cooperative game theory. The tools developed for characterization can also be used to derive somewhat surprising results regarding the properties of information functions.

Suggested Citation

  • Itzhak Gilboa & Ehud Lehrer, 1991. "The Value of Information - An Axiomatic Approach," Post-Print hal-00753232, HAL.
    • Handle: RePEc:hal:journl:hal-00753232
    DOI: 10.1016/0304-4068(91)90002-B
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    References listed on IDEAS

    as
    1. Aumann, Robert J., 1974. "Subjectivity and correlation in randomized strategies," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 67-96, March.
    2. Chateauneuf, Alain, 1985. "On the existence of a probability measure compatible with a total preorder on a Boolean algebra," Journal of Mathematical Economics, Elsevier, vol. 14(1), pages 43-52, February.
    3. Hirshleifer, J & Riley, John G, 1979. "The Analytics of Uncertainty and Information-An Expository Survey," Journal of Economic Literature, American Economic Association, vol. 17(4), pages 1375-1421, December.
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