Risk aversion and the value of information

摘要

Determining,the value of information is a fundamental research problem for information system scientists. Unfortunately, very little research exists that examines the relationship between risk aversion and the value of information. This is surprising because empirical studies show that most managers are risk averse rather than risk neutral. Moreover, the small literature that exists appears to be in conflict. We have developed a framework to examine the relationship between the value of information and risk aversion. We show that the method of payment for information must be considered in determining this relationship. We have used the Arrow-Pratt measure of risk aversion to derive explicit conditions under which the value of information increases (decreases) with risk aversion. From our analysis it is clear that earlier work has depicted a limited view of the relationship between risk aversion and value of information. Our analysis is applicable to the ex-post evaluation of transaction processing systems and a subset of decision and expert support systems.