Linear Utility Function. Suppose that U(.x) = ax + b for some constants a and b, where u > 0. In this case, for every gamble X, E[U(X)] = aE(X) + b. Hence, for every two gambles X and Y, E[U(X)] > E[U(Y)] if and only if E(X) > E(Y). In other words, a person who has a linear utility function will always choose a gamble for which the expected gain is at maximum. When the gamble> X and Y are defined by Eqs. (4.95) and (4.9.6).