The paper studies the value of information in an investment problem,here,the information is assumed to be imperfect.The value of information depends on its structure which is characterized by the joint(or conditional)...The paper studies the value of information in an investment problem,here,the information is assumed to be imperfect.The value of information depends on its structure which is characterized by the joint(or conditional)probability matrix of information variable and state variable.we have defined some partial ordering over the matrices.our main results provide some sufficient conditions,which described by the partial ordering,for the value of information to increase.Applying these results,we have obtained some basic properties of the value of information.展开更多
基金This work has been supported by Chinese NSF grants 90103033NKBRSFG199803060.
文摘The paper studies the value of information in an investment problem,here,the information is assumed to be imperfect.The value of information depends on its structure which is characterized by the joint(or conditional)probability matrix of information variable and state variable.we have defined some partial ordering over the matrices.our main results provide some sufficient conditions,which described by the partial ordering,for the value of information to increase.Applying these results,we have obtained some basic properties of the value of information.
