Publication: The Appeal of Information Transactions
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2012-09
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Abstract
An information transaction entails the purchase of information. Formally, it consists of an information structure together with a price. We develop an index of the appeal of information transactions, which is derived as a dual to the agent’s preferences for information. The index of information transactions has a simple analytic characterization in terms of the relative entropy from priors to posteriors, and it also connects naturally with a recent index of riskiness.
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Informativeness, Information transactions, Kullback-Leibler divergence, Relative entropy, Decision under uncertainty, Investment, Blackwell ordering