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Article
Technical note: Comparative static analysis of information value in a canonical decision problem
The Engineering Economist (2004)
  • Jeffrey Keisler, University of Massachusetts Boston
Abstract
To gain insight into the behavior of the value of information, this paper identifies specific rules for a canonical decision problem: the two-act linear loss decision with normal prior probability distributions. Conditions are derived for which the expected value of perfect information increases when mean and standard deviation are both linear functions of an exogenous variable. A variety of richer decision problems can be adapted to the problem, so that the general results obtained here can be immediately applied to understand drivers of information value.
Keywords
  • value of information,
  • decision analysis
Publication Date
October, 2004
Publisher Statement
This is a preliminary version. The final version appeared as: TECHNICAL NOTE: COMPARATIVE STATIC ANALYSIS OF INFORMATION VALUE IN A CANONICAL DECISION PROBLEM Jeffrey Keisler, The Engineering Economist, Vol. 49, Iss. 4, 2004 Full text of the final version is available at the following link: http://www.tandfonline.com/doi/pdf/10.1080/00137910490888093
Citation Information
Jeffrey Keisler. "Technical note: Comparative static analysis of information value in a canonical decision problem" The Engineering Economist Vol. 49 Iss. 4 (2004)
Available at: http://works.bepress.com/jeffrey_keisler/13/