The properties of a stochastic optimal sequential strategy for purchaisng information in a project selection problem

In this article we employ the results of Fatti et al on the expected value of sample information for a class of economic problems dealing with one source of information and a decision to reject or accept an investment project. The authors consider a framework which allows for the purchasing of many types of costly information aimed at reducing the uncertainty regarding the project’s monetary value. The optimal information-seeking strategy is evaluated for a neutral risk taker. Moreover, its upper bound is derived for some special cases.