Abstract
A decision maker’s utility depends on her action a∈A⊂Rd and the payoff relevant state of the world θ∈Θ. One can define the value of acquiring new information as the difference between the maximum expected utility pre- and post information acquisition. In this paper, I find asymptotic results on the expected value of information as d→∞, by using tools from the theory of (sub)-Gaussian processes and generic chaining.
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