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Preference For Information And Dynamic Consistency, Simon Grant, Atsushi Kajii, Ben Polak

Cowles Foundation Discussion Papers

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.