Costly subjective learning

Information acquisition is an important aspect of decision making. Acquiring information is costly, but the cost of information acquisition is not typically observable and hence it is not obvious how it can be measured. Using preference over menus, de Oliveira, Denti, Mihm, and Ozbek [15] provide an axiomatic foundation for the additive costs model of information acquisition. If obtaining signals from experiments is time-consuming, such as in the case of a long-run investment decision, however, costs may be measured as a discount factor or waiting time for acquiring information. We propose a general class of representations which allows for non-additive costs for information acquisition and provide its axiomatic foundation. Furthermore, the discounting costs model is characterized as a special case.