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18.10. Micro Theory Seminar: Olivier Gossner

Micro Theory Seminar with Olivier Gossner (London School of Economics)

Event details
What
  • Micro Theory Seminar
When Oct 18, 2017
from 16:30 to 17:45
Where faculty room
Contact Name Stephan Lauermann
Contact Email
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Topic

An instrumental approach to the value of information 

 by de Lara and Gossner

Abstract

It is common wisdom that information is valueless if it does not impact choices. We elaborate on this intuition. 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 sum up the decision problem in the set of all possible payoffs, in every state of nature. Taking the support function of this set (or the Fenchel transform of its characteristic function), we show that we obtain the value of information function --- which maps beliefs to expected payoffs under optimal actions at these beliefs. 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.












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