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

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.
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Soumis le : mardi 10 juillet 2012 - 14:43:25
Dernière modification le : vendredi 2 octobre 2020 - 23:26:01

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Michel de Lara, L. Gilotte. A tight sufficient condition for Radner-Stiglitz nonconcavity in the value of information. Journal of Economic Theory, Elsevier, 2007, 137 (1), pp.696. ⟨10.1016/j.jet.2007.01.014⟩. ⟨hal-00716396⟩

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