Correlated risks and the value of information
Résumé
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.