Dynamic Information Acquisition from Multiple Sources

Consider a decision-maker who dynamically acquires Gaussian signals that are related by a completely flexible correlation structure. Such a setting describes information acquisition from news sources with correlated biases, as well as aggregation of complementary information from specialized sources. We study the optimal sequence of information acquisitions. Generically, myopic signal acquisitions turn out to be optimal at sufficiently late periods, and in classes of informational environments that we describe, they are optimal from period 1. These results hold independently of the decision problem and its (endogenous or exogenous) timing. We apply these results to characterize dynamic information acquisition in games.

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