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Informativeness of Experiments for MEU - A Recursive Definition

Heyen, Daniel ; Wiesenfarth, Boris R.

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Abstract

The well-known Blackwell's theorem states the equivalence of statistical informativeness and economic valuableness. Celen (2012) generalizes this theorem, which is well-known for subjective expected utility (SEU), to maxmin expected utility (MEU) preferences. We demonstrate that the underlying definition of the value of information used in Celen (2012) is in contradiction with the principle of recursively defined utility. As a consequence, Celen's framework features dynamic inconsistency. Our main contribution consists in the definition of a value of information for MEU preferences that is compatible with recursive utility and thus respects dynamic consistency.

Item Type: Working paper
Series Name: Discussion Paper Series, University of Heidelberg, Department of Economics
Volume: 0572
Place of Publication: Heidelberg
Date Deposited: 21 Oct 2014 09:49
Date: October 2014
Number of Pages: 6
Faculties / Institutes: The Faculty of Economics and Social Studies > Alfred-Weber-Institut for Economics
Subjects: 330 Economics
Uncontrolled Keywords: Value of information; Maxmin expected utility; Recursive utility
Schriftenreihe ID: Discussion Paper Series / University of Heidelberg, Department of Economics
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