Intrinsic Preference for Information

Abstract

Suppose agents value information not only to make contingent plans but also intrinsically. How 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 LiteratureClassification Numbers: D80, D81.

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