Intrinsic preference for information

• 成果类型: Article
• 署名作者: Grant, S; Kajii, A; Polak, B
• 署名单位: Australian National University; University of Tsukuba; Yale University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1006/jeth.1996.2458
• 发表日期: 1998
• 页码: 233-259
• 关键词: information; risk-aversion; ANXIETY; non-expected utility; Gateaux

摘要

Suppose agents value information not only to make contingent plans but also intrinsically. Wow are such attitudes toward information related to attitudes toward risk? We generalize the Kreps-Porteus recursive expected utility model, dropping both recursivity and expected utility. There is a geometric analogy between risk and information. We characterize intrinsic information loving, in general, by a substitution property analogous to multivariate risk loving; and, for smooth preferences, by the convexity of Gateaux derivatives. Even with recursivity, preference for information does not imply expected utility: we provide an example. We examine connections between information loving and risk aversion for early- and late-resolving risks. Journal of Economic Literature Classification Numbers: D80, D81. (C) 1998 Academic Press.