scholarly journals Dynamic consistency, valuable information and subjective beliefs

2021 ◽  
Author(s):  
Spyros Galanis
Keyword(s):  
Value Of Information ◽  
Single Agent ◽  
Bayesian Updating ◽  
Dynamic Consistency ◽  
Decision Problems ◽  
Backward Induction ◽  
Subjective Expected Utility ◽  
Trading Behavior ◽  
Subjective Beliefs ◽  
Convex Preferences

AbstractAmbiguity sensitive preferences must fail either Consequentialism or Dynamic Consistency (DC), two properties that are compatible with subjective expected utility and Bayesian updating, while forming the basis of backward induction and dynamic programming. We examine the connection between these properties in a general environment of convex preferences over monetary acts and find that, far from being incompatible, they are connected in an economically meaningful way. In single-agent decision problems, positive value of information characterises one direction of DC. We propose a weakening of DC and show that one direction is equivalent to weakly valuable information, whereas the other characterises the Bayesian updating of the subjective beliefs which are revealed by trading behavior.

Bounds on the value of information in uncertain decision problems

Stochastics ◽  
1975 ◽  
Vol 1 (1-4) ◽  
pp. 361-378 ◽  
Author(s):  
W. T. Ziemba ◽  
J. E. Butterworth
Keyword(s):  
Value Of Information ◽  
Decision Problems

scholarly journals Farm decision making under risk and uncertainty

1997 ◽  
Vol 45 (2) ◽  
pp. 307-328 ◽  
Author(s):  
G.B.C. Backus ◽  
V.R. Eidman ◽  
A.A. Dijkhuizen
Keyword(s):  
Decision Making ◽  
Expected Utility ◽  
Utility Theory ◽  
Expected Utility Theory ◽  
Decision Problems ◽  
Subjective Expected Utility ◽  
Risk And Uncertainty ◽  
Decision Making Under Risk ◽  
Agricultural Risk ◽  
Risk Research

Relevant portions of the risk literature are reviewed, relating them to observed behaviour in farm decision-making. Relevant topics for applied agricultural risk research are proposed. The concept of decision making under risk and uncertainty is discussed by reviewing the theory of Subjective Expected Utility and its limitations. Subjective Expected Utility theory is the major framework for thinking systematically through complex issues of decision. Limitations of Subjective Expected Utility theory were that its application to unique decisions is doubtful, that it does not contribute to difficulties in determining the available decision alternatives, and that it is cast in a timeless setting, making the theoretic framework to a very limited extent helpful to solve real world decision problems. Most empirical studies indicate that farmers are risk neutral to slightly risk averse. It is doubtful whether decision makers could be classified according to their risk preferences. A presented overview of applied risk responses reveals much attention for diversification of the enterprise and of production practices, maintaining reserves, and farm expansion. Research reports on observed problems in farm decision making behaviour are lacking. Proposed topics for agricultural risk research include the assessment of the need for a strategic change, the creation of databases to determine both the (co)variances of input and output prices, the effectiveness of various kinds of decision support for different decision problems, and methods for applied scenario analysis to deal with long-run risk.

scholarly journals A Simpler, More Compelling Money Pump with Foresight

2020 ◽  
Vol 117 (10) ◽  
pp. 578-589
Author(s):  
Johan E. Gustafsson ◽  
Wlodek Rabinowicz ◽  
Keyword(s):  
Decision Problems ◽  
Backward Induction ◽  
Cyclic Preferences ◽  
Money Pump ◽  
Choice Node

One might think that money pumps directed at agents with cyclic preferences can be avoided by foresight. This view was challenged two decades ago by the discovery of a money pump with foresight, which works against agents who use backward induction. But backward induction implausibly assumes that the agent would act rationally and retain her trust in her future rationality even at choice nodes that could only be reached if she were to act irrationally. This worry does not apply to BI-terminating decision problems, where at each choice node backward induction prescribes a move that terminates further action. For BI-terminating decision problems, it is enough to assume that rationality and trust in rationality are retained at choice nodes reachable by rational moves. The old money pump with foresight was not BI-terminating. In this paper, we present a new money pump with foresight, one that is both BI-terminating and considerably simpler.

Bounds on the value of information in uncertain decision problems II

Stochastics ◽  
1983 ◽  
Vol 10 (3-4) ◽  
pp. 181-217 ◽  
Author(s):  
D. B. Hausch ◽  
W. T. Ziemba
Keyword(s):  
Value Of Information ◽  
Decision Problems

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

scholarly journals The value of information in monotone decision problems

2018 ◽  
Vol 72 (1) ◽  
pp. 101-116 ◽  
Author(s):  
Susan Athey ◽  
Jonathan Levin
Keyword(s):  
Value Of Information ◽  
Decision Problems
Sign in / Sign up

Export Citation Format

Share Document