Related papers: The indifference value of the weak information
We study the welfare effects of overreaction to information in the form of diagnostic expectations in markets with asymmetric information, and the effect of a simple intervention in the form of a tax or a subsidy. A large enough level of…
We propose and discuss sensitivity metrics for reliability analysis, which are based on the value of information. These metrics are easier to interpret than other existing sensitivity metrics in the context of a specific decision and they…
Argumentation provides a representation of arguments and attacks between these arguments. Argumentation can be used to represent a reasoning process over evidence to reach conclusions. Within such a reasoning process, understanding the…
We modify the standard model of price competition with horizontally differentiated products, imperfect information, and search frictions by allowing consumers to flexibly acquire information about a product's match value during their…
Classical Bayesian mechanism design relies on the common prior assumption, but such prior is often not available in practice. We study the design of prior-independent mechanisms that relax this assumption: the seller is selling an…
Problem definition: Mining for heterogeneous responses to an intervention is a crucial step for data-driven operations, for instance to personalize treatment or pricing. We investigate how to estimate price sensitivity from…
We present a model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite…
We study the robustness of Bayesian persuasion to uncertainty about the receiver's preferences. We analyze two conceptually distinct notions: continuity, in which only the modeler lacks precise knowledge, but where the model's predictions…
Common misconceptions on the Heisenberg principle are reviewed, and the original spirit of the principle is reestablished in terms of the trade-off between information retrieved by a measurement and disturbance on the measured system. After…
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is…
A simple method is shown to provide optimal variational bounds on $f$-divergences with possible constraints on relative information extremums. Known results are refined or proved to be optimal as particular cases.
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
We study what changes to an agent's decision problem increase her value for information. We prove that information becomes more valuable if and only if the agent's reduced-form payoff in her belief becomes more convex. When the…
This paper studies a communication game between an uninformed decision maker and two perfectly informed senders with conflicting interests. Senders can misreport information at a cost that increases with the size of the misrepresentation.…
Our approach is basically a coherence approach, but we avoid the well-known pitfalls of coherence theories of truth. Consistency is replaced by reliability, which expresses support and attack, and, in principle, every theory (or agent,…
We propose a simple randomized rule for the optimization of prices in revenue management with contextual information. It is known that the certainty equivalent pricing rule, albeit popular, is sub-optimal. We show that, by allowing a small…
The form and justification of inductive inference rules depend strongly on the representation of uncertainty. This paper examines one generic representation, namely, incomplete information. The notion can be formalized by presuming that the…
We study the dynamic pricing problem faced by a monopolistic retailer who sells a storable product to forward-looking consumers. In this framework, the two major pricing policies (or mechanisms) studied in the literature are the…
We consider probabilistic theories in which the most elementary system, a two-dimensional system, contains one bit of information. The bit is assumed to be contained in any complete set of mutually complementary measurements. The…
We study contingent claims in a discrete-time market model where trading costs are given by convex functions and portfolios are constrained by convex sets. In addition to classical frictionless markets and markets with transaction costs or…