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Title:Effects of risk aversion on value of information in two-action decision problems
Author(s):Sun, Zhengwei
Director of Research:Abbas, Ali E.
Doctoral Committee Chair(s):Abbas, Ali E.
Doctoral Committee Member(s):Pang, Jong-Shi; Song, Renming; Feng, Liming
Department / Program:Industrial&Enterprise Sys Eng
Discipline:Industrial Engineering
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):risk aversion
value of information
Ross's measure
stochastic dominance
Abstract:This thesis work analyzes the value of information in two-action decision problems with different settings and provides upper and lower bounds on the value of perfect information. The research shows that if two decision makers accept the lottery without the information, then the more risk averse decision maker will value the perfect information higher than the less risk averse one. Conversely, if two decision makers reject the lottery without the information, then the less risk averse decision maker will value the perfect information higher than the more risk averse one. Finally, if a decision maker feels indifferent between accepting and rejecting the lottery without the information, then he/she will value the perfect information higher than any other decision maker with a more or less risk aversion. The work reveals that different measures of risk aversion are corresponding to the different assumptions on the dependent structure between the initial wealth and the lottery. This thesis exhibits how the different lotteries change the effects of risk aversion on the value of perfect information. Finally, the research extends these results to the imperfect information on sets under some assumptions.
Issue Date:2013-02-03
URI:http://hdl.handle.net/2142/42295
Rights Information:Copyright 2012 Zhengwei Sun
Date Available in IDEALS:2013-02-03
Date Deposited:2012-12


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