What is a good % of AGNC to have in your portfolio?
No. In the risk-seeking/aversion study, which is merely summarized in that article, the rules are clear and simple. In my example the rules are not clear and therefore nothing is simple. I gave you no reason to believe that your only choices were 0 or 3%, or 0 or 100%. I only told you what your chances at 3% or 100% were. Any extrapolation to compare the two situations on a mathematical basis is completely unfounded.
But my example is much more like the real-world investment climate. Dozens of different choices, few understood properly by anyone but the people selling them. If you are risk-averse, and you understand the risk of dealing in ambiguous investments, you'll stay away from anything more complicated than a savings account (which, truth be told, ain't that simple, and kind of locks you into very low returns, but that's better than simply being swindled).