Can negative expected value gambling be rational? An analysis of a doubling scheme for roulette

It is well-known (e.g., Wald (1947)) that complicated betting strategies and stopping times cannot turn unfavourable games into favourable ones. While economists tend to attribute individuals' willingness to play such games to irrationality (as might be modeled by increasing marginal utility, for example) the present paper presents an example which suggests an alternative model, one which suggests that negative expected-value (EV) gamblers may in some instances be behaving rationally after all.