The demand for information: More heat than light

DOI10.1016/J.JET.2007.03.003zbMATH Open1140.91395OpenAlexW3125594215MaRDI QIDQ936629FDOQ936629

Jussi Keppo, Lones Smith, Giuseppe Moscarini

Publication date: 19 August 2008

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://repec.org/sed2005/up.24662.1107206598.pdf

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zbMATH Keywords

informationoption pricingmartingalediffusion processelasticityheat equationdemand curvegarblingIto's Lemmanon-concavity

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Consumer behavior, demand theory (91B42) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• The pricing of options and corporate liabilities
• A Mathematical Theory of Communication
• Martingales and arbitrage in multiperiod securities markets
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic Calculus
• Stochastic differential equations. An introduction with applications.
• Martingales and stochastic integrals in the theory of continuous trading
• Another look at the Radner--Stiglitz nonconcavity in the value of information.
• Title not available (Why is that?)
• A Bayesian Model of Demand for Information about Product Quality
• The Optimal Level of Experimentation
• The Law of Large Demand for Information

Cited In (8)

• On the economic value of signals
• Opaque bank assets and optimal equity capital
• The A/B testing problem with Gaussian priors
• The Demand for (Differentiated) Information
• To share or not to share? When information sharing meets remanufacturing
• Variance Regularization in Sequential Bayesian Optimization
• The Law of Large Demand for Information
• Learning Manipulation Through Information Dissemination

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