Arbeitspapier
Entropy and the value of information for investors
Consider any investor who fears ruin facing any set of investments that satisfy no-arbitrage. Before investing, he can purchase information about the state of nature in the form of an information structure. Given his prior, information structure 'a' is more informative than information structure 'b' if whenever he rejects 'a' at some price, he also rejects 'b' at that price. We show that this complete informativeness ordering is represented by the decrease in entropy of his beliefs, regardless of his preferences, initial wealth or investment problem. It is also shown that no prior-independent informativeness ordering based on similar premises exists.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2010-17
- Klassifikation
-
Wirtschaft
Mathematical and Quantitative Methods: General
Index Numbers and Aggregation; Leading indicators
Microeconomics: General
Information, Knowledge, and Uncertainty: General
Criteria for Decision-Making under Risk and Uncertainty
Financial Economics: General
Portfolio Choice; Investment Decisions
- Thema
-
informativeness
information structures
entropy
decision under uncertainty
investment
Blackwell ordering.
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cabrales, Antonio
Gossner, Olivier
Serrano, Roberto
- Ereignis
-
Veröffentlichung
- (wer)
-
Brown University, Department of Economics
- (wo)
-
Providence, RI
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cabrales, Antonio
- Gossner, Olivier
- Serrano, Roberto
- Brown University, Department of Economics
Entstanden
- 2010
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