Risk Aversion and the Value of Information for Investors

2021 ◽  
pp. 1-21
Author(s):  
Richard E. Kihlstrom
Keyword(s):  
Risk Aversion ◽  
Value Of Information

Risk Aversion and the Value of Information

2000 ◽  
Vol 31 (4) ◽  
pp. 382 ◽  
Author(s):  
Louis Eeckhoudt ◽  
Philippe Godfroid
Keyword(s):  
Risk Aversion ◽  
Value Of Information

Risk Aversion and the Value of Information

2000 ◽  
Vol 31 (4) ◽  
pp. 382-388 ◽  
Author(s):  
Louis Eeckhoudt ◽  
Philippe Godfroid
Keyword(s):  
Risk Aversion ◽  
Value Of Information

scholarly journals Risk Aversion, the Value of Information, and Traffic Equilibrium

2012 ◽  
Vol 46 (1) ◽  
pp. 1-26 ◽  
Author(s):  
André de Palma ◽  
Robin Lindsey ◽  
Nathalie Picard
Keyword(s):  
Risk Aversion ◽  
Value Of Information ◽  
Traffic Equilibrium

Risk aversion and the value of information

1996 ◽  
Vol 16 (3) ◽  
pp. 241-254 ◽  
Author(s):  
Raja Nadiminti ◽  
Tridas Mukhopadhyay ◽  
Charles H. Kriebel
Keyword(s):  
Risk Aversion ◽  
Value Of Information

Risk Aversion and the Value of Information

1989 ◽  
Vol 56 (1) ◽  
pp. 104 ◽  
Author(s):  
Marc Willinger
Keyword(s):  
Risk Aversion ◽  
Value Of Information

Risk Aversion and the Value of Information

1989 ◽  
Vol 56 (2) ◽  
pp. 320 ◽  
Author(s):  
Marc Willinger
Keyword(s):  
Risk Aversion ◽  
Value Of Information

Effects of Risk Aversion on the Value of Information in Two-Action Decision Problems

2013 ◽  
Vol 10 (3) ◽  
pp. 257-275 ◽  
Author(s):  
Ali E. Abbas ◽  
N. Onur Bakır ◽  
Georgia-Ann Klutke ◽  
Zhengwei Sun
Keyword(s):  
Risk Aversion ◽  
Value Of Information ◽  
Decision Problems ◽  
Action Decision

Information, Expected Utility, and Portfolio Choice

2010 ◽  
Vol 45 (5) ◽  
pp. 1221-1251 ◽  
Author(s):  
Jun Liu ◽  
Ehud Peleg ◽  
Avanidhar Subrahmanyam
Keyword(s):  
Risk Aversion ◽  
Portfolio Choice ◽  
Asset Allocation ◽  
Value Of Information ◽  
Market Portfolio ◽  
Noisy Information ◽  
Intermediate Consumption ◽  
Parameter Ranges ◽  
Idiosyncratic Uncertainty ◽  
Allocation Decisions

AbstractWe study the consumption-investment problem of an agent with a constant relative risk aversion preference function, who possesses noisy information about the future prospects of a stock. We also solve for the value of information to the agent in closed form. We find that information can significantly alter consumption and asset allocation decisions. For reasonable parameter ranges, information increases consumption in the vicinity of 25%. Information can shift the portfolio weight on a stock from 0% to around 70%. Thus, depending on the stock beta, the weight on the market portfolio can be considerably reduced with information, causing the appearance of underdiversification. The model indicates that stock holdings of informed agents are positively related to wealth, unrelated to systematic risk, and negatively related to idiosyncratic uncertainty. We also show that the dollar value of information to the agent depends linearly on his wealth and decreases with both the propensity to intermediate consumption and risk aversion.

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