Entropy and the Value of Information for Investors
研究了在无套利投资中，投资者如何通过信息结构降低熵来比较信息价值，发现信息优势排序完全由熵减决定，且与投资者偏好、财富或具体投资问题无关。
Consider an investor who fears ruin when facing investments that satisfy no-arbitrage. Before investing he can purchase information about the state of nature as an information structure. Given his prior, information structure α investment dominates information structure β if, whenever he is willing to buy β at some price, he is also willing to buy α at that price. We show that this informativeness ordering is complete and is represented by the decrease in entropy of his beliefs, regardless of his preferences, initial wealth, or investment problem. We also show that no prior-independent informativeness ordering based on similar premises exists.