Gul, Faruk; Natenzon, Paulo; Pesendorfer, Wolfgang - In: Econometrica 89 (2021) 5, pp. 2225-2259
We introduce random evolving lotteries to study preference for non‐instrumental information. Each period, the agent enjoys a flow payoff from holding a lottery that will resolve at the terminal date. We provide a representation theorem for non‐separable risk consumption preferences and use...