Risk and Information

Question

Does anyone know of some papers that look at how risk preferences affect demand for information (or related topics about the connection between risk and Information)? I took an information economics class a while ago and misplaced the syllabus.

I can remember that some classical models predicted that higher risk aversion leads to lower consumption for information. My professor remarked that this seemed pretty counter-intuitive, and might be a result of a fundamental mis-specification in modeling information. Thoughts? I'd also be interested in experiments that look at this problem empirically. Thanks!

Answer 1

The classic paper on preferences over the timing of information revelation is Kreps and Porteus (1978). This seems to capture at least a little, if not most, of what you seem to be describing, so you should definitely have a look.

Strzalecki also has a nice paper connecting Kreps-Porteus to the various modern approaches to preferences under ambiguity.