Economics Working Papers
Publication Date
7-2-2019
Number
19013
Abstract
This paper examines the robustness of Lehmann’s ranking of experiments (Lehmann, 1988) for decisionmakers who are uncertainty-averse à la Cerreia- Vioglio et al. (2011). We show that, assuming commitment, for all uncertaintyaverse indices satisfying some mild assumptions, Lehmann’s informativeness ranking is equivalent to the induced uncertainty-averse value ranking of experiments for all agents with single-crossing vNM utility indices (Theorem 1). Moreover, Lehmann ranking can also be detected by varying the uncertainty-averse indices for a fixed finite collection of vNM utility indices (Theorem 2). Our findings suggest that Lehmann’s ranking can be a useful enrichment of Blackwell’s ranking for monotone decision problems even if ambiguity is present. We apply our results to social aggregation of information preferences and investment decision problems.
JEL Classification
C44, D81
Version History
Original Release Date: July 2, 2019
Departments
Department of Economics, Iowa State University
File Format
application/pdf
Length
43 pages
Recommended Citation
Li, Jian and Zhou, Junjie, "Information order in monotone decision problems under uncertainty" (2019). Economics Working Papers: Department of Economics, Iowa State University. 19013.
https://lib.dr.iastate.edu/econ_workingpapers/78
