Costly learning under ambiguity

Kemal Ozbek

Journal of Mathematical Economics, 2025, vol. 116, issue C

Abstract: In this paper, we propose a general model of information acquisition, Costly Bayesian Learning (CBL). Using menu choice framework, we provide an axiomatic characterization of the model, identify its parameters, apply a comparative statics, as well as study special cases of the model. Unlike many prominent models of information acquisition (e.g., the Rational Inattention model), a CBL agent can exhibit uncertainty averse behavior and prefer late resolution of uncertainty.

Keywords: Costly information acquisition; Uncertainty aversion; Attitudes towards the timing of uncertainty; Hedging; Second-order rational inattention; Posteriorwise dominance (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:116:y:2025:i:c:s0304406824001393

DOI: 10.1016/j.jmateco.2024.103079

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