Optimal Pricing of Information

Understand

A decision maker is choosing between an active action (e.g., purchase a house, invest certain stock) and a passive action.

• The payoff of the active action depends on the buyer's private type and also an unknown state of nature.
• An information seller can design experiments to reveal information about the realized state to the decision maker, and would like to maximize profit from selling such information.
• We characterize, in closed-form, the revenue-optimal information selling mechanism for the seller.