Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62629
Authors: 
Cabrales, Antonio
Gossner, Olivier
Serrano, Roberto
Year of Publication: 
2010
Series/Report no.: 
Working Paper, Brown University, Department of Economics 2010-17
Abstract: 
Consider any investor who fears ruin facing any set of investments that satisfy no-arbitrage. Before investing, he can purchase information about the state of nature in the form of an information structure. Given his prior, information structure 'a' is more informative than information structure 'b' if whenever he rejects 'a' at some price, he also rejects 'b' at that price. We show that this complete informativeness ordering is represented by the decrease in entropy of his beliefs, regardless of his preferences, initial wealth or investment problem. It is also shown that no prior-independent informativeness ordering based on similar premises exists.
Subjects: 
informativeness
information structures
entropy
decision under uncertainty
investment
Blackwell ordering.
JEL: 
C00
C43
D00
D80
D81
G00
G11
Document Type: 
Working Paper

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