This lecture discussed Expected Utility Theory. Please read Chapter 2 of Davis & Holt textbook, which is covered in the lecture. However, additional material and a new perspective is also provided. EU theory is a theory about human decision making under uncertainty. It assumes that humans are hyper-rational, they know all the probabilities, they can compute expected values, solve massively complex optimization problems and act according to these super abilities. There is no surprise that this model fails to match actual behavior of humans.
Wikipedia: Risk Aversion - Explains utility concavity, convexity and relation to risk aversion
UTube Video on Utility & Risk Aversion - 9m basics explained - links to more advanced stuff
AM2L06 Decisions Under Uncertainty: Expected Utility - Based on Chapter 2 of Davis & Holt Experimental Economics - 1hr 25m