Optimal aggregation of multiple signals: Optimality of linear aggregation rule and possibility of using the maximum or the minimum of signals

Sam-Ho Lee, Joonbae Lee

Research output: Contribution to journalArticlepeer-review

Abstract

An optimal aggregation rule of multiple signals is studied. A sufficient condition for the optimality of a linear aggregation rule (the weighted sum of signals) and the common classes of signal distributions satisfying the condition are provided. Other aggregation rules such as rules using the maximum or the minimum are also considered and their usefulness is illustrated through examples.

Original languageEnglish
Pages (from-to)71-81
Number of pages11
JournalJournal of Economic Theory and Econometrics
Volume25
Issue number4
Publication statusPublished - 2014 Jan 1

Keywords

  • Linear Aggregation
  • Rule using the Maximum or the Minimum
  • Signal Aggregation

ASJC Scopus subject areas

  • Economics and Econometrics

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