Attitude Towards Information and Non-Expected Utility Preferences : A Characterization by Choice Functions

In the Allais paradox, if an agent’s preferences violate independence axiom, the (non- Expected Utility) decision maker appears to be prone to dynamic inconsistency, that is in some sequential decision problem he may be expected to embark upon (action) plans which he is not going to follow through. Moreover, Wakker (1988) proves that non-EU decision maker can be made worse o¤, in dynamic choice setting, by getting a prior knowledge of what nature’s moves will be. Thus, dynamic inconsistency and Information aversion are closely linked. Following Wakker’s argument, a number of papers have set out the relationship between dynamic consistency and information attitude, but authors restrict the class of non-EU preferences by imposing di¤erent consistent properties, non- EU preferences must satisfy. Our approach in this paper is di¤erent, instead of starting from agent’s preferences to infer agent’s attitude towards information, conversely we start from the attitude towards information to infer the agent’s preferences “logically” possible. We display in the simplest dynamic version of the Allais’ paradox, the di¤erent possible attitudes towards information and characterize them in the Choice Functions Theory’s framework. We show for instance that an agent who has non-EU preferences can be Information Averse as pointed out by Wakker (1988) but also Information Lover. Therefore, the simple observation of non-EU preferences cannot give us any piece of information about the agent’s attitude towards information.(This abstract was borrowed from another version of this item.)