Subjective Information Choice Processes

All references to definitions and results in this Supplement refer to Dillenberger, Krishna, and Sadowski (2017, henceforth DKS) unless otherwise specified. The supplement is organized as follows. Section 1 below provides details of the Information Cost representation in Section 6 as well as a proof of Theorem 4 in DKS. Section 2 reviews some relevant notions from convex analysis, which are used in the sequel. Section 3 establishes the static representation in [D.1] of DKS. Section 4 extends the existence of the Recursive Anscombe-Aumann representation, which is established in Krishna and Sadowski (2014) for finite prize spaces, to our domain with a compact set of prizes, as discussed in Appendix D.1 of DKS. Finally, Section 5 provides a metric on the space of partitions as described in Appendix A.3 of DKS.