COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1208

Preference for Information and Dynamic Consistency

Simon Grant, Atsushi Kajii and Ben Polak

January 1999

We provide necessary and sufficient conditions for a dynamically consistent agent always to prefer more informative signals (in single-agent problems).  These conditions do not imply recursivity, reduction or independence.   We provide a simple definition of dynamically consistent behavior, and we discuss whether an intrinsic information lover (say, an anxious person) is likely to be dynamically consistent.

Keywords:  Information, non-expected utility, dynamic consistency, randomization, anxiety