Yes that’s one factor. But there’s also a “going bust” factor which is kind of a fundamental dynamic as well. Think of it in terms of life. Once you are dead y

Yes that’s one factor. But there’s also a “going bust” factor which is kind of a fundamental dynamic as well. Think of it in terms of life. Once you are dead you’re dead, it’s the end. If the variance in your life outcomes “crosses the zero line” then the game ends, even if it’s just for an hour. You could bend your argument to cover that by arguing that the utility of that last little fraction tends to infinity. Like what would you exchange for the drink of water that would save your life if you were minutes from death? But it’s a bit strained, especially as a way to explain it to someone for whom utility is not already intuitive. I think it’s pretty easy to understand that excessive variance leads to death or very negative outcomes. All you need to demonstrate it is a houseplant and a supply of water, air, and sunshine. If you increase the variance of any of those three things sufficiently you quickly don’t have a houseplant any more, regardless of the average total supply.