THE SURE THING PRINCIPLE AND THE VALUE OF INFORMATION

This paper examines the relationship between Savage's sure thing princ iple and the value of information. We present two classes of results. First, we show that, under a consequentialist axiom, the sure-thing pr inciple is neither sufficient nor necessary for perfect information to be always desirable: specifically, under consequentialism, the sure t hing principle is not implied by the condition that perfect informatio n is always valuable; moreover, the joint imposition of the sure thing principle, consequentialism and either one of two state independence axioms does not imply that perfect information is always desirable. Se cond, we demonstrate that, under consequentialism, the sure thing prin ciple is necessary for a nonnegative value of possibly imperfect infor mation (though of course the principle is still not sufficient). One i mplication of these results is that the sure thing principle, under co nsequentialism, plays a somewhat different role in ensuring dynamic co nsistency in decision making under uncertainty than does the independe nce axiom in decision making under risk.