IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00716396.html
   My bibliography  Save this paper

A tight sufficient condition for Radner-Stiglitz nonconcavity in the value of information

Author

Listed:
  • Michel de Lara

    (CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École des Ponts ParisTech)

  • L. Gilotte

    (CIRED - centre international de recherche sur l'environnement et le développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - EHESS - École des hautes études en sciences sociales - AgroParisTech - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper deals with the existence of a nonconcavity in the value of information, as was first explained by Radner and Stiglitz [A nonconcavity in the value of information, in: M. Boyer, R.E. Kihlstrom (Eds.), Bayesian Models in Economic Theory, Elsevier Science Publishers, Amsterdam, 1984, pp. 33-52 (Chapter 3)]. After defining infinitesimal information distance variationIIDV, we find that IIDV = 0 is sufficient for a zero marginal value of information at the null. This is a condition only on the information structure and in particular is independent of the decision maker's preferences. This condition is tight: when IIDV > 0, there exists a payoff function for which the marginal value of information at the null is positive under general assumptions. © 2007.

Suggested Citation

  • Michel de Lara & L. Gilotte, 2007. "A tight sufficient condition for Radner-Stiglitz nonconcavity in the value of information," Post-Print hal-00716396, HAL.
    • Handle: RePEc:hal:journl:hal-00716396
    DOI: 10.1016/j.jet.2007.01.014
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Michel de Lara & Olivier Gossner, 2020. "Payoffs-Beliefs Duality and the Value of Information," Post-Print hal-01941006, HAL.
    2. Mark Whitmeyer, 2024. "Call the Dentist! A (Con-)Cavity in the Value of Information," Papers 2404.01190, arXiv.org.
    3. Mark Whitmeyer, 2024. "Can One Hear the Shape of a Decision Problem?," Papers 2403.06344, arXiv.org, revised Apr 2024.
    4. Mark Whitmeyer, 2022. "Making Information More Valuable," Papers 2210.04418, arXiv.org, revised Jun 2024.
    5. van Staden, Heletjé E. & Boute, Robert N., 2021. "The effect of multi-sensor data on condition-based maintenance policies," European Journal of Operational Research, Elsevier, vol. 290(2), pages 585-600.
    6. Peter I. Frazier & Warren B. Powell, 2010. "Paradoxes in Learning and the Marginal Value of Information," Decision Analysis, INFORMS, vol. 7(4), pages 378-403, December.
    7. 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.

    More about this item

    Keywords

    Value of information;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00716396. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.