Re: CV
When betting Kelly or fraction thereof, you decrease or increase your bets according to your bankroll. The CV is proportional to the rate of growth of your expected bankroll. That is why it is a good measure. It is also related to the Shrape ratio in Portfolio theory.
This stuff has been written about at length (see for example bjmath.com and my July magazine article). The point is that maximizing EV is incorrect. Maximizing EV would have you betting your whole bank with the any advantage whatsoever--a sure path to ruin. I won't elaborate further here. You can read about it yourelf.
|