Non-Normalizable Probability Measures for Fun and Profit

An eccentric benefactor holds two envelopes, and explains to you that they each contain money; one has two times as much cash as the other one. You are encouraged to open one, and you find $4,000 inside. Now your benefactor — who is a bit eccentric, remember — offers you a deal: you can either keep the $4,000, or you can trade for the other envelope. Which do you choose?