An individual seeks to maximize the expected utility, E[u(s + a)], of investing their exogenous wealth, W, in a safe asset, s, and a risky asset, a. (They invest all of their wealth, such that s +a = W.) The safe asset earns a rate of return equal to zero. The risky asset earns a rate of return of > 0 with probability p and a rate of return r 0 with probability p and a rate of return r