Preference for Information

Simon Grant, Atsushi Kajii and Ben Polak ()
Additional contact information
Ben Polak: Cowles Foundation, Yale University, https://economics.yale.edu/people/faculty/benjamin-polak

No 1114, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: What is the relationship between an agent's attitude towards information, and her attitude towards risk? If an agent always prefers more information, does this imply that she obeys the independence axiom? We provide a substitution property on preferences that is equivalent to the agent (intrinsically) liking information in the absence of contingent choices. We use this property to explore both questions, first in general, then for recursive smooth preferences, and then in specific recursive non-expected utility models. Given smoothness, for both the rank dependence and betweenness models, if an agent is information-loving then her preferences can depart from Kreps and Porteus's (1978) temporal expected utility model in at most one stage. This result does not extend to quadratic utility. Finally, we give several conditions such that, provided the agent intrinsically likes information, Blackwell's (1953) result holds; that is, she will always prefer more informative signals, whether or not she can condition her subsequent behavior on the signal.

Pages: 44 pages
Date: 1996-01
Note: CFP 974.
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Citations: View citations in EconPapers (10)

Published in Journal of Economic Theory (1998), 83: 233-259

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Working Paper: Preference for Information (1996)
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