The appeal of information transactions

An information transaction entails the purchase of information. Formally, it consists of an information structure together with a price. We develop an index of the appeal of information transactions, which is derived as a dual to the agent's preferences for information. The index of information transactions has a simple analytic characterization in terms of the relative entropy from priors to posteriors, and it also connects naturally with a recent index of riskiness. -- informativeness ; information transactions ; Kullback-Leibler divergence ; relative entropy ; decision under uncertainty ; investment ; Blackwell ordering.