Optimal Dynamic Information Acquisitioned

I study a dynamic model in which a decision-maker acquires information about the payoffs of different alternatives prior to making her decision. The key feature of the model is the flexibility of information: the decision-maker can choose any dynamic signal process as an information source, subject to a flow cost that depends on the informativeness of the signal. Under the optimal policy, the decision-maker looks for a signal that arrives according to a Poisson process. The optimal Poisson signal confirms the decision-maker’s prior belief and is sufficiently accurate to warrant an immediate action. Over time, absent the arrival of a Poisson signal, the decision-maker continues seeking an increasingly more precise but less frequent Poisson signal.