This paper takes an additional step toward analyzing the demand for insurance in the context of a portfolio model. An investor is endowed with a portfolio containing a risky and riskless asset that can be augmented by purchasing insurance. Here, insurance is paid for by reducing the quantity of...

The literature on experimentation and learning typically imposes a special dynamic structure: The only connection between periods is the updating of beliefs. Hence, both the present action and present signal realization only affect the future by changing the distribution of future beliefs. In...

Is there an intrinsic nonconcavity to the value of information? In an influential paper, Radner and Stiglitz (1984, henceforth RS) suggests that there is. They demonstrated, in a seemingly general model, that the marginal value of a small amount of information is zero. Since costless information...

Both consumers and a monopolist producer are uncertain about a good's quality. I derive conditions under which the value of public information about quality will be positive or negative to consumers and the firm. I find that the firm always prefers more information, but consumers may not. I...

Researchers often assume that preferences over uncertain consumption streams are representable bywhere , is (random) period t consumption. It is moreover often asserted that estimates of γ cannot be unambiguously interpreted, since the quantity 1 - γ measures both relative risk aversion and...

Expected consumer's surplus rarely represents preferences over price lotteries. Still, I give sufficient conditions for policies which maximize aggregate expected surplus to be interim Pareto Optimal. Besides two standard partial equilibrium conditions, I assume that feasible prices satisfy a...