IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1809.05120.html
   My bibliography  Save this paper

Information Acquisition and Time-Risk Preference

Author

Listed:
  • Daniel Chen
  • Weijie Zhong

Abstract

An agent acquires information dynamically until her belief about a binary state reaches an upper or lower threshold. She can choose any signal process subject to a constraint on the rate of entropy reduction. Strategies are ordered by "time risk"-the dispersion of the distribution of threshold-hitting times. We construct a strategy maximizing time risk (Greedy Exploitation) and one minimizing it (Pure Accumulation). Under either strategy, beliefs follow a compensated Poisson process. In the former, beliefs jump to the threshold that is closer in Bregman divergence. In the latter, beliefs jump to the unique point with the same entropy as the current belief.

Suggested Citation

  • Daniel Chen & Weijie Zhong, 2018. "Information Acquisition and Time-Risk Preference," Papers 1809.05120, arXiv.org, revised Aug 2024.
    • Handle: RePEc:arx:papers:1809.05120
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1809.05120
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Jakub Steiner & Colin Stewart & Filip Matějka, 2017. "Rational Inattention Dynamics: Inertia and Delay in Decision‐Making," Econometrica, Econometric Society, vol. 85, pages 521-553, March.
    2. Giuseppe Moscarini & Lones Smith, 2001. "The Optimal Level of Experimentation," Econometrica, Econometric Society, vol. 69(6), pages 1629-1644, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Weijie Zhong, 2018. "The Indirect Cost of Information," Papers 1809.00697, arXiv.org, revised Apr 2020.
    2. Hébert, Benjamin & Woodford, Michael, 2023. "Rational inattention when decisions take time," Journal of Economic Theory, Elsevier, vol. 208(C).
    3. Jakub Steiner & Colin Stewart & Filip Matějka, 2017. "Rational Inattention Dynamics: Inertia and Delay in Decision‐Making," Econometrica, Econometric Society, vol. 85, pages 521-553, March.
    4. Benjamin Davies, 2024. "Learning about a changing state," Papers 2401.03607, arXiv.org.
    5. Annie Liang & Xiaosheng Mu & Vasilis Syrgkanis, 2019. "Dynamically Aggregating Diverse Information," PIER Working Paper Archive 19-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    6. Philippe Jehiel & Jakub Steiner, 2020. "Selective Sampling with Information-Storage Constraints [On interim rationality, belief formation and learning in decision problems with bounded memory]," The Economic Journal, Royal Economic Society, vol. 130(630), pages 1753-1781.
    7. Lasserre, Pierre & Moatti, Jean-Paul & Soubeyran, Antoine, 2006. "Early initiation of highly active antiretroviral therapies for AIDS: Dynamic choice with endogenous and exogenous learning," Journal of Health Economics, Elsevier, vol. 25(3), pages 579-598, May.
    8. Martinovici, A., 2019. "Revealing attention - how eye movements predict brand choice and moment of choice," Other publications TiSEM 7dca38a5-9f78-4aee-bd81-c, Tilburg University, School of Economics and Management.
    9. Atahan Afsar; José Elías Gallegos; Richard Jaimes; Edgar Silgado Gómez & José Elías Gallegos & Richard Jaimes & Edgar Silgado Gómez, 2020. "Reconciling Empirics and Theory: The Behavioral Hybrid New Keynesian Model," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-41, December.
    10. Rutger-Jan Lange & Coen N. Teulings, 2021. "The option value of vacant land: Don't build when demand for housing is booming," Tinbergen Institute Discussion Papers 21-022/IV, Tinbergen Institute.
    11. Dilmé, Francesc, 2019. "Dynamic quality signaling with hidden actions," Games and Economic Behavior, Elsevier, vol. 113(C), pages 116-136.
    12. Lindbeck, Assar & Weibull, Jörgen, 2020. "Delegation of investment decisions, and optimal remuneration of agents," European Economic Review, Elsevier, vol. 129(C).
    13. Cujean, Julien & Bustamante, Maria Cecilia & Frésard, Laurent, 2019. "Knowledge Cycles and Corporate Investment," CEPR Discussion Papers 14152, C.E.P.R. Discussion Papers.
    14. Th'eo Durandard & Matteo Camboni, 2024. "Comparative Statics for Optimal Stopping Problems in Nonstationary Environments," Papers 2402.06999, arXiv.org, revised Jul 2024.
    15. Bartosz Maćkowiak & Filip Matějka & Mirko Wiederholt, 2023. "Rational Inattention: A Review," Journal of Economic Literature, American Economic Association, vol. 61(1), pages 226-273, March.
    16. Thijssen, J.J.J., 2003. "Investment under uncertainty, market evolution and coalition spillovers in a game theoretic perspective," Other publications TiSEM 672073a6-492e-4621-8d4a-0, Tilburg University, School of Economics and Management.
    17. Heyen, Daniel, 2018. "Ambiguity aversion under maximum-likelihood updating," LSE Research Online Documents on Economics 80342, London School of Economics and Political Science, LSE Library.
    18. Keppo, Jussi & Moscarini, Giuseppe & Smith, Lones, 2008. "The demand for information: More heat than light," Journal of Economic Theory, Elsevier, vol. 138(1), pages 21-50, January.
    19. Ellison, Martin & Macaulay, Alistair, 2021. "A rational inattention unemployment trap," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
    20. Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stéphane, 2000. "Investment Timing under Incomplete Information," IDEI Working Papers 115, Institut d'Économie Industrielle (IDEI), Toulouse, revised Apr 2004.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1809.05120. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.