Before revision: Assuming that agents' preferences satisfy first-order stochastic dominance, we show that the Expected Utility Paradigm can explain all rational investment choices. In particular, the optimal investment strategy in any behavioral law-invariant  setting corresponds to the optimum for some risk averse expected utility maximizer whose concave utility function we derive explicitly .
After revision: Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the (Generalized) Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant setting corresponds to the optimum for some risk averse expected utility maximizer whose concave utility function we derive explicitly .