The demand for information: More heat than light

DOI10.1016/J.JET.2007.03.003MaRDI QIDQ936629zbMATH OpenOpenAlexFDO

Authors Jussi Keppo, Giuseppe Moscarini, Lones Smith

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

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)

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Cites work

• scientific article; zbMATH DE number 4014390 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• A Bayesian Model of Demand for Information about Product Quality
• A Mathematical Theory of Communication
• Another look at the Radner--Stiglitz nonconcavity in the value of information.
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Stochastic Calculus
• Stochastic differential equations. An introduction with applications.
• The Law of Large Demand for Information
• The Optimal Level of Experimentation
• The pricing of options and corporate liabilities

Cited in

(11)

• On the economic value of signals
• Opaque bank assets and optimal equity capital
• Learning and the value of information: evidence from health plan report cards
• The A/B testing problem with Gaussian priors
• Variance regularization in sequential Bayesian optimization
• The Demand for (Differentiated) Information
• Payoffs-beliefs duality and the value of information
• To share or not to share? When information sharing meets remanufacturing
• Belief updating and the demand for information
• The Law of Large Demand for Information
• Learning Manipulation Through Information Dissemination

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