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Journal Articles Journal of Economics Year : 2011

Correlated risks and the value of information

Abstract

A decision maker faces two correlated risks and can obtain information on only one of them. Intuition suggests that the existence of a high correlation (in absolute value) between the risks should increase total information value. Indeed in such a case information about one risk induces a relevant information on the other one. Using a simple example, we show that this intuition is often correct, but that it can also be mitigated by other factors.

Dates and versions

hal-02649529 , version 1 (29-05-2020)

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Louis Eeckoudt, Alban Thomas, Nicolas N. Treich. Correlated risks and the value of information. Journal of Economics, 2011, 102 (1), pp.77-87. ⟨10.1007/s00712-010-0169-5⟩. ⟨hal-02649529⟩
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