**Figure
** —The expected utility of *the
gamble* is 1/2U(X)+1/2U(Y). The utility of the expected value of the gamble
is U(1/2X+1/2Y). In the risk averse case depicted the utility of the expected
value is higher than the expected utility of the gamble. **(Schneider
and Kuntz-Duriseti, 2002; modified after Varian,
1992). **