The Value of Information in Anticipated Utility Theory.

A well-known property of expected utility theory is that the value of information is nonnegative. Given the widespread dissatisfaction with the expected utility hypothesis, a natural question to ask is whether competing theories of choice preserve this property. This article considers one widely discussed alternative to expected utility, anticipated utility theory. We show that, like expected utility, the anticipated value of perfect information is always nonnegative. The value of imperfect information, however, may be negative, though the precise valuation of information depends upon whether the reduction of compound lotteries axiom is used to derive the anticipated utility functional. Copyright 1990 by Kluwer Academic Publishers