Séminaire ACSIOM :

Le 06 décembre 2005 à 10:30 - salle 431

Présentée par De Lara Michel - Cermics, Ecole des Ponts ParisTech

Conditions de séparabilité pour le théorème de Radner Stiglitz (non concavité de la valeur de l'information en économie)

This paper studies sufficient conditions for the marginal value of information to be initially zero, as first pointed by R.~Radner and J.~Stiglitz (1984) and elaborated by H.~Chade and E.~Schlee (2002). Building on convex analysis, we obtain a general expression and estimates for the marginal value of information. Then, a first necessary condition for zero marginal value of information holds for most payoff functions and is tight but means that informativeness is initially at best of second-order. Another sufficient condition requires unicity of the optimal decision without information and ``soft boundedness'' of the initial information improvement. Both conditions on information are computable in the density case.