Generalized Stochastic Differential Utility and Preference for Information - HEC Paris - École des hautes études commerciales de Paris Access content directly
Journal Articles The Annals of Applied Probability Year : 2004

Generalized Stochastic Differential Utility and Preference for Information

Abstract

This paper develops, in a Brownian information setting, an approach for analyzing the preference for information, a question that motivates the stochastic differential utility (SDU) due to Duffie and Epstein [Econometrica 60 (1992) 353-394]. For a class of backward stochastic differential equations (BSDEs) including the generalized SDU [Lazrak and Quenez Math. Oper. Res. 28 (2003) 154-180], we formulate the information neutrality property as an invariance principle when the filtration is coarser (or finer) and characterize it. We also provide concrete examples of heterogeneity in information that illustrate explicitly the nonneutrality property for some GSDUs. Our results suggest that, within the GSDUs class of intertemporal utilities, risk aversion or ambiguity aversion are inflexibly linked to the preference for information.
No file

Dates and versions

hal-00485707 , version 1 (21-05-2010)

Identifiers

  • HAL Id : hal-00485707 , version 1

Cite

Ali Lazrak. Generalized Stochastic Differential Utility and Preference for Information. The Annals of Applied Probability, 2004, Vol.14, n°4, pp.2149-2175. ⟨hal-00485707⟩

Collections

HEC
47 View
0 Download

Share

Gmail Mastodon Facebook X LinkedIn More