Yes, gambling for small wins can be negative, if you don't include the "excitement" or "entertainment" in the utility function. But then you're not talking abo

Yes, gambling for small wins can be negative, if you don't include the "excitement" or "entertainment" in the utility function. But then you're not talking about a pure monetary transaction. More like a trade. Which goes back to your point: nobody makes a voluntary transaction where they get less value than they provide. Take charity donations, for example: people value the warm feeling from helping others and a clear consciousness more than the money they are giving.