Optimal Aggregation of Multiple Signals: Optimality of Linear Aggregation Rule and Possibility of Using the Maximum or the Minimum of Signals
Sam‐Ho Lee, Joon bae Lee · Journal of Economic Theory And Econometrics · 2014
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.