Is there any reason we don't include a risk aversion factor in expected utility calculations?
If there is an established way of considering risk aversion, where can I find posts/papers/articles/books regarding this?
Because doing so will lead to worse outcomes on average. Over a long series of events, someone who just follows the math will do better than someone who is risk-averse wrt to 'utility'. Of course, often our utility functions are risk-averse wrt to real-world things, because of non-linear valuation - e.g, your first $100,000 is more valuable than your second, and your first million is not 10x as valuable as your first $100,000.
This is a thread where people can ask questions that they would ordinarily feel embarrassed for not knowing the answer to. The previous thread is at close to 500 comments.