Menger 1934 revisited.

Authors: Ole Peters
Subjects: Risk Management
link: http://arxiv.org/abs/1110.1578
Abstract

Karl Menger's 1934 paper on the St. Petersburg paradox contains mathematical
errors that invalidate his conclusion that unbounded utility functions,
specifically Bernoulli's logarithmic utility, fail to resolve modified versions
of the St. Petersburg paradox.