Ambiguity and the value of information revisited

We analyze the value that decision makers place on the acquisition of information that partially or completely resolves uncertainty over the correct distribution of outcomes. We distinguish two sources of ambiguity of a given message service: posterior uncertainty over the correct probability distribution and uncertainty over the message which will be received. Given this distinction, we present a model where attitudes towards the two sources of ambiguity are separated and we study how these attitudes affect the value of information. The analysis clarifies and integrates seemingly contradictory results obtained previously in the literature.