taw comments on Prospect Theory: A Framework for Understanding Cognitive Biases - Less Wrong
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Utility is generally accepted to be differentiable in money, which means that it's approximately linear in amounts that are insignificant over your lifetime earnings. If you use a non-linear utility to explain risk aversion for a small amount of money, and extend this until you get large amounts of money, it results in absurdly huge utility falloff. I remember someone posted an article on this. I can't seem to find it at the moment.
Are you looking for this?