Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity

TL;DR

This paper develops a buyer-centric data asset pricing model based on informational value, using robust investment-consumption problems under ambiguity to derive explicit formulas and analyze properties.

Contribution

It introduces a novel pricing framework from the buyer's perspective, incorporating ambiguity and indifference pricing, with explicit formulas and numerical illustrations.

Findings

Derived general expressions for data asset prices.

Analyzed properties of prices under various market conditions.

Provided explicit pricing formulas for specific scenarios.

Abstract

Data assets are data commodities that have been processed, produced, priced, and traded based on actual demand. Reasonable pricing mechanism for data assets is essential for developing the data market and realizing their value. Most existing literature approaches data asset pricing from the seller's perspective, focusing on data properties and collection costs, however, research from the buyer's perspective remains scarce. This gap stems from the nature of data assets: their value lies not in direct revenue generation but in providing informational advantages that enable enhanced decision-making and excess returns. This paper addresses this gap by developing a pricing model based on the informational value of data assets from the buyer's perspective. We determine data asset prices through an implicit function derived from the value functions in two robust investment-consumption problems under ambiguity markets via the indifference pricing principle. By the existing research results, we simplify the value function, using mathematical analysis and differential equation theory, we derive general expressions for data assets price and explore their properties under various conditions. Furthermore, we derive the explicit pricing formulas for specific scenarios and provide numerical illustration to describe how to use our pricing model.