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Consider the lottery that assigns a probability 7r of obtaining a level of consumption CH and a probability 1 71' of obtaining a low level

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Consider the lottery that assigns a probability 7r of obtaining a level of consumption CH and a probability 1 71' of obtaining a low level of consumption CL with CH > CL. Consider an individual facing such a lottery with utility function u(c) that has the properties that more is better (that is, a strictly positive marginal utility of consumption at all levels of c) and diminishing marginal utility of consumption, u\"(c)

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