Optimal Dynamic Information Acquisition
2022; Wiley; Volume: 90; Issue: 4 Linguagem: Inglês
10.3982/ecta17787
ISSN1468-0262
Autores Tópico(s)Experimental Behavioral Economics Studies
ResumoI study a dynamic model in which a decision‐maker (DM) acquires information about the payoffs of different alternatives prior to making a decision. The model's key feature is the flexibility of information: the DM can choose any dynamic signal process as an information source, subject to a flow cost that depends on the informativeness of the signal. Under the optimal policy, the DM acquires a signal that arrives according to a Poisson process . The optimal Poisson signal confirms the DM's prior belief and is sufficiently precise to warrant immediate action. Over time, given the absence of the arrival of a Poisson signal, the DM continues seeking an increasingly precise but less frequent Poisson signal.
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