Re: Terror in Poker and Finance Part II
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To clarify, suppose two of us have $10,000,000,000 bankrolls, and we're playing $1-$2 limit HE. Who is the better player? The one with the higher Sharpe Ratio, or the one with the higher EV?
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In your question, you should add:
One of the players has a higher standard deviation, but also a higher EV such that the Sharpe's Ratio is lower.
So:
Player 1 EV > Player 2 EV
Player 1 Sharpes Ratio < Player 2 Sharpes Ratio
Player 1 SD > Player 2 SD
(Unless I missed something, I think the combination shown above is possible and not an impossible situation)
Who would you rather be if you had 10mil, and you are playing $1/$2?
I'd rather be Player 1.
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