Abstract
Let ξ1,…, ξ T be a stochastic process describing economic variables which are relevant for decision making, such as interest rates, equity prices or cashflows of a company. We define a basic multistage optimization problem and study its behavior under assumptions about the available information level for the decision maker, expressed as measurability condition w.r.t. some σ-algebras.
In particular, we compare the solution under the (realistic) assumption of non-anticipativity and the (unrealistic) assumption of clairvoyance.
This comparison allows to define a value of information. We argue that this value of information may serve as a measure of risk, derive properties and finally study the stochastic process generated by this risk measure.
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Pflug, G.C. (2004). The Value of Perfect Information as a Risk Measure. In: Marti, K., Ermoliev, Y., Pflug, G. (eds) Dynamic Stochastic Optimization. Lecture Notes in Economics and Mathematical Systems, vol 532. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-55884-9_14
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DOI: https://doi.org/10.1007/978-3-642-55884-9_14
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