Information Design Possibility Set

Let $\mathcal{V}$ be the set of all combinations of expected value of finite objective functions from designing information. I showed that $\mathcal{V}$ is a compact and convex set implemented by signal structures with finite support when unknown states are finite. Moreover, $\mathcal{V}(\mu)$ as a correspondence of prior is continuous. This result can be applied to develop a concavification method of Lagrange multipliers that works with general constrained optimization. It also provides tractability to a wide range of information design problems.