Re: Terror in Poker and Finance Part II
Absolutely correct.
Assuming that two plays have the same EV, you would be insane to choose the play with the higher variance.
Assuming that two plays have the same variance, you would be insane to choose the play with the lower EV.
The world does not often work like that, and one is left to contemplate a variety of choices with corresponding EV and variance. This is why Sharpe's model came around in the first place.
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