Certainty Equivalent

**Phoebe** · 09-25-2016, 08:15 AM

I read that CE is the minimum profit one would require to forfeit an advantageous but risky investment opportunity.
Well clear.

Changing RoR accepted in CVData, with "Rational Bets" nothing change except CE (and CE/WR, of course)
Is it because CE take in acount real RoR and accepted RoR ?

**Stealth** · 09-25-2016, 10:26 AM

I think of CE as a risk adjusted EV. In fact, one of the MIT teams used CE as the metric for payment for their players.

I use [CE = EV-(variance/(2 * % kelly I am using * my bankroll)]

**Phoebe** · 09-25-2016, 11:41 AM

Yes but in CVCX, 2 sims with same bet ramp and bankroll will produce different CE just because I set target RoR differently.
Look at bottom line and RoR/Kelly Factor in this blinking picture: http://pokermenteur.free.fr/images/CE.gif

**Bodarc** · 09-25-2016, 03:16 PM

Changing RoR changes %Kelly

**Phoebe** · 09-25-2016, 03:22 PM

Of course. I know that. Please read again.

RoR in bottom line don't change (remain 2.0%) so Kelly don't change. But CE Change !
It is as if CVCX used the Kelly factor that I wanted to play and not one associated with it has taken calculated based on the constraint "Rationnals bets". It is the latter that is useful. No ?

Is GIF picture animated in your explorer ?

**Phoebe** · 09-25-2016, 04:21 PM

I founded how to explain concretely.

We have same bankroll.
I wanted a RoR of 0,25%. I set CVCX. CVCX give me a betting strategy.
You wanted a RoR of 5%. You set CVCX. CVCX give you a betting strategy.

Oh ! It's the same because of Rationnal Bets.

But I play with CE= 1.95
You play with CE=5.10

In fact, is simply CE psychological ? That is to say, using Kelly Factor you think acceptable. Not Kelly Factor you play.
I doubt but why not for excluding a bug in CVCX.

**Norm** · 09-25-2016, 04:58 PM

Don't understand. Post screenshots.

**Phoebe** · 09-25-2016, 05:01 PM

In post #3

Picture change by 1 second : http://pokermenteur.free.fr/images/CE.gif

**Norm** · 09-25-2016, 05:23 PM

CVCX uses the Kelly Bankroll to calculate CE, not the bankroll. When you change the Kelly Factor, the Kelly Bankroll changes.

**Phoebe** · 09-25-2016, 05:33 PM

What is Kelly Bankroll ?
I know Bankroll and Kelly Factor.

How two players with same bankroll and same betting strategy can have different CE ?
They play with same Kelly Factor.

**Norm** · 09-25-2016, 05:43 PM

Kelly bankroll is the bankroll * Kelly factor. Basically, when you reduce the Kelly factor, you are pretending that you have a smaller bankroll than you actually have and create the optimal bets based upon that smaller bankroll. That's why the risk is reduced. CE is based upon the pretend size of your bankroll.

**Phoebe** · 09-25-2016, 06:05 PM

Very clear.
But in my 2 sims, risk is not changed (2.0%) by lowering Kelly Factor because bets are exactly the same (due to Rationnal Bets constraint)

**Norm** · 09-25-2016, 06:10 PM

Yes, RoR is not changed because of the rational bet constraint. But, CE is based on the Kelly bankroll. Now, if there were no contraints, then RoR in the results would match RoR in the setting next to Kelly factor, CE would be half of WinRate, and CE/WR would be 0.5. But, since it was constrained, CE/WR showed that you were over-betting with one Kelly factor and under-betting with the other.