Related papers: The indifference value of the weak information

In the allocation of resources to a set of agents, how do fairness guarantees impact the social welfare? A quantitative measure of this impact is the price of fairness, which measures the worst-case loss of social welfare due to fairness…

This paper consists of two parts. In the first part, we develop a new information theory, in which it is not a coincidence that information and physical entropy share the same mathematical formula. It is an adaptation of mind to help search…

We study the problems of pricing an indivisible product to consumers who are embedded in a given social network. The goal is to maximize the revenue of the seller. We assume impatient consumers who buy the product as soon as the seller…

We present the amounts of information, fidelity, and reversibility obtained by arbitrary quantum measurements on completely unknown states. These quantities are expressed as functions of the singular values of a measurement operator…

We study the power and limitations of posted prices in multi-unit markets, where agents arrive sequentially in an arbitrary order. We prove upper and lower bounds on the largest fraction of the optimal social welfare that can be guaranteed…

Information is increasingly being viewed as a resource used by organisms to increase their fitness. Indeed, it has been formally shown that there is a sensible way to assign a reproductive value to information and it is non-negative.…

We derive the amount of information retrieved by a quantum measurement in estimating an unknown maximally entangled state, along with the pertaining disturbance on the state itself. The optimal tradeoff between information and disturbance…

In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering, non-Gaussian copula dependence, as…

We provide an inferential framework to assess variable importance for heterogeneous treatment effects. This assessment is especially useful in high-risk domains such as medicine, where decision makers hesitate to rely on black-box treatment…

We consider a model of oligopolistic competition in a market with search frictions, in which competing firms with products of unknown quality advertise how much information a consumer's visit will glean. In the unique symmetric equilibrium…

We study approximation and integration problems and compare the quality of optimal information with the quality of random information. For some problems random information is almost optimal and for some other problems random information is…

We develop inference procedures robust to general forms of weak dependence. The procedures utilize test statistics constructed by resampling in a manner that does not depend on the unknown correlation structure of the data. We prove that…

Classic results show that even an arbitrarily small correlation across bidders' information can enable full surplus extraction in auctions and related mechanism design settings. Motivated by this fragility, we study the information…

This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…

If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new…

We propose new measures of shared information, unique information and synergistic information that can be used to decompose the multi-information of a pair of random variables $(Y,Z)$ with a third random variable $X$. Our measures are…

We study the robustness of cheap-talk equilibria to infinitesimal private information of the receiver in a model with a binary state-space and state-independent sender-preferences. We show that the sender-optimal equilibrium is robust if…

This thesis develops a new divergence that generalizes relative entropy and can be used to compare probability measures without a requirement of absolute continuity. We establish properties of the divergence, and in particular derive and…

A seller posts a price for a single object. The seller's and buyer's values may be interdependent. We characterize the set of payoff vectors across all information structures. Simple feasibility and individual-rationality constraints…

We study the indirect cost of information from sequential information cost minimization. A key sub-additivity condition, together with monotonicity equivalently characterizes the class of indirect cost functions generated from any direct…