Before revision:  We show that solving a portfolio choice problem under RDUT reduces to solving a classical Merton's portfolio choice problem under expected utility theory with the same utility function but a different pricing kernel explicitly determined by the given pricing kernel and probability weighting function.
After revision:  We show that this problem is equivalent to a classical Merton's portfolio choice problem under expected utility theory with the same utility function but a different pricing kernel explicitly determined by the given pricing kernel and probability weighting function.