Dynamic Information Acquisition from Multiple Sources

摘要

Consider a decision-maker who dynamically acquires Gaussian signals that arerelated by a completely flexible correlation structure. Such a settingdescribes information acquisition from news sources with correlated biases, aswell as aggregation of complementary information from specialized sources. Westudy the optimal sequence of information acquisitions. Generically, myopicsignal acquisitions turn out to be optimal at sufficiently late periods, and inclasses of informational environments that we describe, they are optimal fromperiod 1. These results hold independently of the decision problem and its(endogenous or exogenous) timing. We apply these results to characterizedynamic information acquisition in games.