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On the value of information in multi-agent decision theory

Author

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  • Marco Scarsini

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique, Dipartimento di Scienze Economiche e Aziendali - LUISS - Libera Università Internazionale degli Studi Sociali Guido Carli [Roma])

  • Bruno Bassan

Abstract

Several agents, each with his own opinion (probability measure), make decisions in order to maximize their expected utility. A super partes person, ‘the chief', releases information with the goal of maximizing a social expected utility, which is an increasing function of the agents' utilities. Additional bits of information are individually beneficial to each agent, but might be socially detrimental if the social utility is concave and therefore diversification is valuable. In this paper, information is modeled by filtrations on a suitable probability space, and the problem of establishing how much information ought to be released is tackled. Two situations are examined, in which the chief either updates or does not update her opinion.

Suggested Citation

  • Marco Scarsini & Bruno Bassan, 1995. "On the value of information in multi-agent decision theory," Post-Print hal-00541811, HAL.
    • Handle: RePEc:hal:journl:hal-00541811
    DOI: 10.1016/0304-4068(94)00699-B
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    References listed on IDEAS

    as
    1. Kalai, Ehud & Lehrer, Ehud, 1994. "Weak and strong merging of opinions," Journal of Mathematical Economics, Elsevier, vol. 23(1), pages 73-86, January.
    2. M. Scarsini, 1988. "On a simple sequential decision problem," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 42(1), pages 29-35, March.
    3. D. Blackwell & L. Dubins, 2010. "Merging of Opinions with Increasing Information," Levine's Working Paper Archive 565, David K. Levine.
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    Cited by:

    1. Prat, Andrea, 2002. "Should a team be homogeneous?," European Economic Review, Elsevier, vol. 46(7), pages 1187-1207, July.
    2. Holm, Håkan, 2000. "Politically Correct Information Adoption," Working Papers 2000:5, Lund University, Department of Economics.
    3. David Lane, "undated". "Is what is good for each good for all? Individual rationality and social efficiency in an information contagion model," Computing in Economics and Finance 1996 _033, Society for Computational Economics.
    4. Prat, A., 1998. "How Homogeneous Should a Team Be?," Discussion Paper 1998-45, Tilburg University, Center for Economic Research.
    5. R. Cellini & L. Lambertini & G. I. P. Ottaviano, 2015. "To Know or Not To Know: Strategic Inattention and Endogenous Market Structure," Working Papers wp987, Dipartimento Scienze Economiche, Universita' di Bologna.

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