[Izverg04]

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So what is RTTMax?

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Here is a very basic gambling question. You have two "wagers" that take you the same time to play through, and the first one provides more value with more risk: EV1>EV2; Var1>Var2. You determine that both of them are within your risk tolerance (or "bankroll"), that is

Var1/EV1<RTT; Var2/EV2<RTT.

You can choose only one. How do you choose?

Since EV and variance are additive, the question can be reduced to whether the bet that doesn't take any of your time and has EV'=EV2-EV1 and Var'=Var2-Var1 is attractive to you. I am saying that it is attractive when

Var'/EV'<RTTmax, where RTTmax<RTT.

RTTmax can be interpreted as the risk tolerance treshold for an infinite wage.