Effects of risk aversion on value of information in two-action decision problems

risk aversion;value of information;"Rosss measure";stochastic dominance

Sun, Zhengwei

关键词: risk aversion;    value of information;    "Rosss measure";    stochastic dominance;   

Others  :  https://www.ideals.illinois.edu/bitstream/handle/2142/42295/Zhengwei_Sun.pdf?sequence=1&isAllowed=y

美国|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

This thesis work analyzes the value of information in two-action decision problems with different settings and provides upper and lower bounds on the value of perfect information. The research shows that if two decision makers accept the lottery without the information, then the more risk averse decision maker will value the perfect information higher than the less risk averse one. Conversely, if two decision makers reject the lottery without the information, then the less risk averse decision maker will value the perfect information higher than the more risk averse one. Finally, if a decision maker feels indifferent between accepting and rejecting the lottery without the information, then he/she will value the perfect information higher than any other decision maker with a more or less risk aversion. The work reveals that different measures of risk aversion are corresponding to the different assumptions on the dependent structure between the initial wealth and the lottery. This thesis exhibits how the different lotteries change the effects of risk aversion on the value of perfect information. Finally, the research extends these results to the imperfect information on sets under some assumptions.