Journal
JOURNAL OF RISK AND UNCERTAINTY
Volume 40, Issue 2, Pages 133-145Publisher
SPRINGER
DOI: 10.1007/s11166-010-9088-7
Keywords
Non-expected utility; Greater ambiguity; Greater ambiguity aversion
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The value of information is studied in a non-expected utility model of ambiguity with second-order probabilities. Information that reduces ambiguity has a positive value for ambiguity-averse decision makers, and the value of information that resolves ambiguity increases with greater ambiguity and with greater ambiguity aversion. Since information that resolves risk is valuable, and must also resolve ambiguity, the value of such information for ambiguity averters increases with greater ambiguity and with greater ambiguity aversion.
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