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Suppose U(x) = x^2 over the interval 0 x 1 and that x = 0 with probability p and x = 1 with probability 1
- Suppose U(x) = x^2 over the interval 0 x 1 and that x = 0 with probability p and x = 1 with probability 1 p. Show that E(U(x)) > U(E(X)). What do you conclude about the risk attitude of this decision-maker?
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An Introduction to Measure Theoretic Probability
Authors: George G. Roussas
2nd edition
128000422, 978-0128000427
