The book follows the basic differentiation between risky actions with known probabilities of the outcome on the one hand and risky actions with unknown probabilities of the outcome on the other. Commonly addressed by the formulation “decision making under risk” and “decision making under uncertainty”. Chapter 3 discusses the basic tool to handle decisions under risk: Applying “expected utility” according Daniel Bernoulli’s concept. This rule has been operationalized into “mean/variance” rule. According to Markowitz the investor should consider “expected return a desirable thing and variance of return an undesirable thing.” The basic description starts with a short history of expected utility and explains, why mean/variance has been overwhelmingly accepted by academics and professionals alike. For those interested, the technicalities of calculating the expected utility for different combinations of probability function and utility functions will be performed. The calculation of expected utility by means of Taylor series expansion will be discussed. The results show that the connection of mean variance decision rule to the Bernoulli expected utility rule is exactly valid in several cases only. Among professionals, the mean variance decision rule has emancipated from Bernoulli. For several utility functions, variance increases the expected value. The connection to absolute and relative risk aversion a la Arrow and Pratt will be discussed.