Risk‐Constrained Information Choice
研究了在风险约束下如何选择信息，通过随机化信息选择而非使用，避免期望收益与风险组合被占优，得到更优的决策方案。
ABSTRACT Ahituv and Wand [1] applied an information economics model to the problem of making information choices using two decision criteria: expected (monetary) payoff and expected risk. Using risk‐constrained optimization, they derived a solution in which the use of information is randomized by means of a mixed decision strategy. Although this solution is undominated when the expected payoff/expected risk trade‐off boundary is convex, it may be dominated when the boundary is not convex. To avoid such dominance, it is necessary to adjust their solution by randomizing the choice of information rather than its use. For any feasible level of expected risk, this will yield an expected payoff equal to or greater than their solution produces and will always result in an undominated expected payoff/expected risk combination.