Subjective Learning, Second Version

David Dillenberger () and Philipp Sadowski ()
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David Dillenberger: Department of Economics, University of Pennsylvania
Philipp Sadowski: Department of Economics, Duke University

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: We study an individual who faces a dynamic decision problem in which the process of information arrival is unobserved by the analyst. We derive a sequence of representations of preferences over menus of acts that capture the individual's uncertainty about his future beliefs. Using the most general representation, we characterize a notion of "more preference for flexibility" via a subjective analogue of Blackwell's (1951, 1953) comparisons of experiments. A more refined representation allows us to compare individuals who expect to learn differently, even if they do not agree on their prior beliefs. The class of information structures that can support such a representation generalizes the notion of a partition of the state space. We apply the model to study an individual who anticipates gradual resolution of uncertainty over time. Both the filtration (the timing of information arrival with the sequence of partitions it induces) and prior beliefs are uniquely identified.

Keywords: Resolution of uncertainty; second-order beliefs; preference for flexibility; valuing binary bets more; generalized partition; subjective filtration. (search for similar items in EconPapers)
JEL-codes: D80 D81 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2011-09-30, Revised 2012-03-07
New Economics Papers: this item is included in nep-mic
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