Consider an agent with wealth w who has to decide how to invest it. He has two alternatives: a safe asset that pays a return r and a risky asset that pays a random return z, with cumulative distribution function F. The agent has an increasing and concave vNM utility function u. If he purchases of the risky asset and invests the remaining w- in the safe asset, he will end up with z + (w- )r. Show that if u exhibits decreasing absolute risk aversion (DARA), the agent will invest more in the risky asset the greater his initial wealth.