前文：
黑天鹅作者塔勒布观点（一)：如何理解风险共担（skin in the game)
再论塔勒布（2）：何为不确定性？ A Roadmap to INCERTO
本文导读：金融市场中最重要的核心概念就在于：
1）如何定价风险
2）如何理解风险
3）如何合理承受风险
4）如何对冲风险
交易员的本质不过是风险的搬砖佬。这篇文章非常硬核，但绝对值得多次阅读，近期很长一段时间我无法在公众号分享真实想法和观点，那么就以分享干货和学术性的译文为主。
这篇文章能帮助你厘清很多关于风险和概率的核心概念，当然这篇文章读懂不易（正如塔勒布的其他n篇文章一样。。）
想要看核心观点和交易策略的请加入星球。
以下为正文：
Time to explain ergodicity, ruin and (again) rationality. Recall from the previous chapter that to do science (and other nice things) requires survival t not the other way around?
是时候解释遍历性、毁灭和（再次）合理性了。回想一下上一章，做科学（和其他美好的事情）需要生存，而不是相反？
Consider the following thought experiment.
让我们思考如下的案例：
First case, one hundred persons go to a Casino, to gamble a certain set amount each and have complimentary gin and tonic –as shown in the cartoon in Figure x. Some may lose, some may win, and we can infer at the end of the day what the “edge” is, that is, calculate the returns simply by counting the money left with the people who return. We can thus figure out if the casino is properly pricing the odds. Now assume that gambler number 28 goes bust. Will gambler number 29 be affected? No.
第一种情况，一百个人去赌场，每人赌一定金额的钱，并享用免费的杜松子酒和奎宁水——如图 x 中的卡通所示。有些人可能会输，有些人可能会赢，我们可以在一天结束时推断出“优势”是什么，即通过计算回来的人剩下的钱来计算回报。这样我们就可以弄清楚赌场是否正确地定价赔率。现在假设 28 号赌徒破产了。那么29 号赌徒会受到影响吗？答案是不会。
You can safely calculate, from your sample, that about 1% of the gamblers will go bust. And if you keep playing and playing, you will be expected have about the same ratio, 1% of gamblers over that time window.
我们可以从样本中计算出，大约 1% 的赌徒会破产。如果继续玩下去，预计在这段时间内，破产的赌徒比例将大致相同，为 1%。
Now compare to the second case in the thought experiment. One person, your cousin Theodorus Ibn Warqa, goes to the Casino a hundred days in a row, starting with a set amount. On day 28 cousin Theodorus Ibn Warqa is bust. Will there be day 29? No. He has hit an uncle point; there is no game no more.
现在比较一下思维实验中的第二种情况。一个人，你的表弟 Theodorus Ibn Warqa，连续一百天去赌场，从固定的金额开始。第 28 天，表弟 Theodorus Ibn Warqa 破产了。会有第 29 天吗？没有。他已经达到了完犊子的临界点；再也没有机会让他赌下去了。
No matter how good he is or how alert your cousin Theodorus Ibn Warqa can be, you can safely calculate that he has a 100% probability of eventually going bust.
不管他有多优秀，或者你的表弟西奥多罗斯·伊本·瓦尔卡 (Theodorus Ibn Warqa) 有多警觉，你都可以放心地计算出，他最终破产的可能性是 100%。
The probabilities of success from the collection of people does not apply to cousin Theodorus Ibn Warqa. Let us call the first set ensemble probability, and the second one time probability (since one is concerned with a collection of people and the other with a single person through time). Now, when you read material by finance professors, finance gurus or your local bank making investment recommendations based on the long term returns of the market, beware. Even if their forecast were true (it isn’t), no person can get the returns of the market unless he has infinite pockets and no uncle points. The are conflating ensemble probability and time probability. If the investor has to eventually reduce his exposure because of losses, or because of retirement, or because he remarried his neighbor’s wife, or because he changed his mind about life, his returns will be divorced from those of the market, period.
从人群中得出的成功概率并不适用于堂兄 Theodorus Ibn Warqa。我们将第一组称为集合概率，将第二组称为时间概率（因为一个与人群有关，另一个与单个人有关）。现在，当我们阅读金融教授、金融大师或当地银行根据市场长期回报提出的投资建议时，请保持谨慎，即便他们的预测是正确的（事实并非如此），除非他有无限的资金弹药并且没有破产临界点，否则没有人可以获得市场的回报（落袋为安）。因为他们混淆了集合概率和时间概率。如果投资者最终因为损失、退休、与邻居的妻子再婚或改变人生观而不得不减少风险敞口，那么他的回报将与市场回报脱节，仅此而已。
We saw with the earlier comment by Warren Buffett that, literally, anyone who survived in the risk taking business has a version of “in order to succeed, you must first survive.” My own version has been: “never cross a river if it is on average four feet deep.” I effectively organized all my life around the point that sequence matters and the presence of ruin does not allow cost-benefit analyses; but it never hit me that the flaw in decision theory was so deep. Until came out of nowhere a paper by the physicist Ole Peters, working with the great Murray Gell-Mann. They presented a version of the difference between the ensemble and the time probabilities with a similar thought experiment as mine above, and showed that about everything in social science about probability is flawed. Deeply flawed. Very deeply flawed. For, in the quarter millennia since the formulation by the mathematician Jacob Bernoulli, and one that became standard, almost all people involved in decision theory made a severe mistake. Everyone? Not quite: every economist, but not everyone: the applied mathematicians Claude Shannon, Ed Thorp, and the physicist J.-L. Kelly of the Kelly Criterion got it right. They also got it in a very simple way. The father of insurance mathematics, the Swedish applied mathematician Harald Cramér also got the point. And, more than two decades ago, practitioners such as Mark Spitznagel and myself build our entire business careers around it. (I personally get it right in words and when I trade and decisions, and detect when ergodicity is violated, but I never explicitly got the overall mathematical structure –ergodicity is actually discussed in Fooled by Randomness). Spitznagel and I even started an entire business to help investors eliminate uncle points so they can get the returns of the market. While I retired to do some flaneuring, Mark continued at his Universa relentlessly (and successfully, while all others have failed). Mark and I have been frustrated by economists who, not getting ergodicity, keep saying that worrying about the tails is “irrational”.
我们从沃伦·巴菲特先前的看法中可知，任何在投机这门行业中幸存下来的人都有这样的想法：“要想成功，你必须先生存下来。”那么我自己的想法是：“永远不要过一条平均水深四英尺的河。”我一生都在围绕这个观点进行思考，即顺序很重要，而破产的存在不允许进行成本效益分析；但我从未意识到决策理论的缺陷如此之深。直到物理学家 Ole Peters 与伟大的 Murray Gell-Mann 合作发表了一篇论文。他们用与我上述类似的思想实验提出了集合概率和时间概率之间的差异，并表明社会科学中关于概率的一切都存在缺陷。严重缺陷。非常严重缺陷（现代数学的概率论有其局限性）。
因为，自数学家 Jacob Bernoulli 提出并成为标准的二十五年来，几乎所有参与决策理论的人都犯了一个严重的错误。每个人？不完全是：每个经济学家都正确，但不是每个人：应用数学家克劳德·香农、埃德·索普和物理学家 J.-L. 凯利准则的凯利都正确。他们也以一种非常简单的方式做到了这一点。保险数学之父、瑞典应用数学家哈拉尔德·克拉默也明白这一点。而且，二十多年前，像马克·斯皮茨纳格尔（交易员，多本对冲基金畅销书籍作者）和我这样的从业者围绕这一点建立了我们的整个商业生涯。（我个人在语言上、在交易和决策时，以及在检测何时违反遍历性时，都正确理解了这一点，但我从未明确地理解整体数学结构——遍历性实际上是在《随机致富的傻瓜》中讨论的）。斯皮茨纳格尔和我甚至创办了一家公司，帮助投资者消除叔叔点，以便他们能够获得市场的回报。当我退休去做一些闲逛时，马克坚持不懈地继续他的宇宙学（并取得了成功，而其他人都失败了）。马克和我一直对那些不理解遍历性的经济学家感到失望，他们一直说担心尾部风险是“不合理的”。
Now there is a skin in the game problem in the blindness to the point. The idea I just presented is very very simple. But how come nobody for 250 years got it? Skin in the game, skin in the game.
现在，在盲目性方面存在一个“风险共担（skin in the game)”的问题。我刚才提出的想法非常简单。但为什么 250 年来没有人理解呢？风险共担，还是风险共担。
It looks like you need a lot of intelligence to figure probabilistic things out when you don’t have skin in the game. There are things one can only get if one has some risk on the line: what I said above is, in retrospect, obvious. But to figure it out for an overeducated nonpractitioner is hard. Unless one is a genius, that is have the clarity of mind to see through the mud, or have such a profound command of probability theory to see through the nonsense. Now, certifiably, Murray Gell-Mann is a genius (and, likely, Peters). Gell-Mann is a famed physicist, with Nobel, and discovered the subatomic particles he himself called quarks. Peters said that when he presented the idea to him, “he got it instantly”. Claude Shannon, Ed Thorp, Kelly and Cramér are, no doubt, geniuses –I can vouch for this unmistakable clarity of mind combined with depth of thinking that juts out when in conversation with Thorp. These people could get it without skin in the game. But economists, psychologists and decision-theorists have no genius (unless one counts the polymath Herb Simon who did some psychology on the side) and odds are will never have one. Adding people without fundamental insights does not sum up to insight; looking for clarity in these fields is like looking for aesthetic in the attic of a highly disorganized electrician.
看起来，当你没有参与其中时，你需要很多智慧才能弄清楚概率问题。有些事情只有冒险才能得到：回想起来，我上面所说的是显而易见的。但对于一个受过过度教育的非从业者来说，弄清楚这一点很难。除非你是个天才，即头脑清晰，能看穿食物的本质，或者对概率论有如此深刻的掌握，能看穿胡说八道。
现在，可以肯定的是，默里·盖尔曼是个天才（彼得斯很可能也是）。盖尔曼是一位著名的物理学家，获得过诺贝尔奖，他发现了他自己称之为夸克的亚原子粒子。彼得斯说，当他向他提出这个想法时，“他立刻就明白了”。克劳德·香农、埃德·索普、凯利和克拉默无疑是天才——我可以保证，在与索普交谈时，这种清晰的头脑和深刻的思考会凸显出来。这些人可以不参与其中就获得成功。但经济学家、心理学家和决策理论家没有天才（除非算上博学多识、兼职做心理学的 Herb Simon），而且很可能永远不会有天才。加入没有基本洞察力的人并不等于洞察力；在这些领域寻找清晰度就像在一个高度混乱的电工的阁楼里寻找美学一样。
Ergodicity
遍历性
As we saw, a situation is deemed non ergodic here when observed past probabilities do not apply to future processes. There is a “stop” somewhere, an absorbing barrier that prevents people with skin in the game from emerging from it –and to which the system will invariably tend. Let us call these situations “ruin”, as the entity cannot emerge from the condition. The central problem is that if there is a possibility of ruin, cost benefit analyses are no longer possible.[i]
正如我们所见，当观察到的过去概率不适用于未来过程时，这种情况被视为非遍历的。在某个地方有一个“停止点”，一个吸收屏障，阻止有利益的人摆脱困境——而系统总是会倾向于此。让我们将这些情况称为“毁灭”，因为实体无法摆脱这种情况。核心问题是，如果存在毁灭的可能性，成本效益分析就不再可能。[i]
Consider a more extreme example than the Casino experiment. Assume a collection of people play Russian Roulette a single time for a million dollars –this is the central story in Fooled by Randomness. About five out of six will make money. If someone used a standard cost-benefit analysis, he would have claimed that one has 83.33% chance of gains, for an “expected” average return per shot of $833,333. But if you played Russian roulette more than once, you are deemed to end up in the cemetery. Your expected return is … not computable.
考虑一个比赌场实验更极端的例子。假设一群人玩一次俄罗斯轮盘赌，赢了一百万美元——这是《随机致富的傻瓜》的核心故事。大约六分之五的人会赚钱。如果有人使用标准的成本效益分析，他会声称一个人有 83.33% 的获利机会，每次“预期”平均回报为 833,333 美元。但如果你玩俄罗斯轮盘赌不止一次，你就会被认为最终会进入墓地。事实是，你实际的预期回报是……无法计算的。
Repetition of Exposures
风险暴露的重复性
Let us see why “statistical testing” and “scientific” statements are highly insufficient in the presence of ruin problems and repetition of exposures. If one claimed that there is “statistical evidence that the plane is safe”, with a 98% confidence level (statistics are meaningless without such confidence band), and acted on it, practically no experienced pilot would be alive today. In my war with the Monsanto machine, the advocates of genetically modified organisms (transgenics) kept countering me with benefit analyses (which were often bogus and doctored up), not tail risk analyses for repeatedexposures.
让我们看看为什么在存在破产问题和重复暴露的情况下，“统计测试”和“科学”陈述是远远不够的。如果有人声称有“统计证据表明飞机是安全的”，置信度为 98%（没有这样的置信区间，统计数据毫无意义），并据此采取行动，那么几乎没有任何经验丰富的飞行员今天还活着。在我与孟山都机器的战争中，转基因生物（转基因）的倡导者一直用效益分析（通常是伪造的和篡改的）来反驳我，而不是重复暴露的尾部风险分析。
Psychologists determine our “paranoia” or “risk aversion” (or for some, “loss aversion”) by subjecting a person to a single experiment –then declare that humans are rationally challenged as there is an innate tendency to “overestimate” small probabilities. It is as if the person will never again take any personal tail risk! Recall that academics in social science are … dynamically challenged. Nobody could see the grandmother-obvious inconsistency of such behavior with our ingrained daily life logic. Smoking a single cigarette is extremely benign, so a cost-benefit analysis would deem one irrational to give up so much pleasure for so little risk! But it is the act of smoking that kills, with a certain number of pack per year, tens of thousand of cigarettes –in other words, repeated serial exposure.
心理学家通过对一个人进行一次实验来确定我们的“偏执”或“风险对冲”（或者对某些人来说是“规避损失”）——然后宣布人类在理性上受到挑战，因为有一种“高估”小概率的天生倾向。就好像这个人再也不会冒任何个人尾部风险了！回想一下，社会科学领域的学者是……动态挑战。没有人能看到这种行为与我们根深蒂固的日常生活逻辑之间明显的不一致。吸一支烟是非常无害的，所以成本效益分析会认为，为了这么小的风险而放弃这么多的乐趣是不理性的！但正是吸烟的行为导致了死亡，每年吸一定数量的烟，数以万计的香烟——换句话说，反复连续接触。
Beyond, in real life, every single bit of risk you take adds up to reduce your life expectancy. If you climb mountains and ride a motorcycle and hang around the mob and fly your own small plane and drink absinthe, your life expectancy is considerably reduced although not a single action will have a meaningful effect. This idea of repetition makes paranoia about some low probability events perfectly rational. But we do not need to be overly paranoid about ourselves; we need to shift some of our worries about bigger things.
此外，在现实生活中，你冒的每一点风险都会缩短你的预期寿命。如果你爬山、骑摩托车、与人群混在一起、驾驶自己的小型飞机、喝苦艾酒，你的预期寿命就会大大缩短，尽管没有一个单一的行为会产生有意义的影响。这种重复的想法使得对一些低概率事件的偏执变得完全合理。但我们不需要对自己过度偏执；我们需要把一些担忧转移到更大的事情上。
Note: The flaw in psychology papers is to believe that the subject doesn’t take any other tail risks anywhere outside the experiment and will never take tail risks again. The idea of “loss aversion” have not been thought through properly –it is not measurable the way it has been measured (if at all mesasurable). Say you ask a subject how much he would pay to insure a 1% probability of losing $100. You are trying to figure out how much he is “overpaying” for “risk aversion” or something even more stupid, “loss aversion” (pain of losing is greater than pleasure of winning). But you cannot possibly ignore all the other present and future financial risks he will be taking. You need to figure out other risks in the real world: if he has a car outside that can be scratched, if he has a financial portfolio that can lose money, if he has a bakery that may risk a fine, if he has a child in college who may cost unexpectedly more, if he can be laid off. All these risks add up and the attitude of the subject reflects them all. Ruin is indivisible and invariant to the source of randomness that may cause it.
I believe that risk/loss aversion does not exist: what we observe is, simply a residual of ergodicity.
注意：心理学论文的缺陷在于相信受试者在实验之外不会承担任何其他尾部风险，并且永远不会再承担尾部风险。“损失规避”的概念尚未经过深思熟虑——它无法像测量那样进行测量（如果可以测量的话）。假设你问一个受试者，他愿意支付多少钱来确保 1% 的损失 100 美元的概率。你试图弄清楚他为“风险规避”或更愚蠢的“损失规避”（损失的痛苦大于获胜的快乐）“多付了”多少钱。但你不可能忽略他将承担的所有其他当前和未来的财务风险。你需要弄清楚现实世界中的其他风险：如果他的车在外面可能会被刮花，如果他的金融投资组合可能会亏损，如果他的面包店可能会面临罚款的风险，如果他的孩子在上大学，可能会花费意外的更多，如果他可能会被解雇。所有这些风险加起来，受试者的态度反映了所有这些风险。破产是不可分割的，并且不受可能导致破产的随机性来源的影响。
我认为风险/损失规避并不存在：我们观察到的只是遍历性的残差。
Who is “You”?
那么究竟什么是“你”？
Let us return to the notion of “tribe” of Chapter x. The defects people get from studying modern thought is that they develop the illusion that each one of us is a single unit, without seeing the contradiction in their own behavior. In fact I’ve sampled ninety people in seminars and asked them: “what’s the worst thing that happen to you?” Eighty-eight people answered “my death”.
让我们回到第十章的“部落”概念。人们在研究现代思想时产生的缺陷是，他们产生了一种错觉，认为我们每个人都是一个整体，而没有看到自己行为中的矛盾。事实上，我在研讨会上抽样调查了 90 个人，并问他们：“发生在你身上最糟糕的事情是什么？” 88 个人回答“我的死亡”。
This can only be the worst case situation for a psychopath. For then, I asked those who deemed that the worst case is their own death: “Is your death plusthat of your children, nephews, cousins, cat, dogs, parakeet and hamster (if you have any of the above) worse than just your death? Invariably, yes. “Is your death plus your children, nephews, cousins (…) plus all of humanity worse than just your death? Yes, of course. Then how can your death be the worst possible outcome?[1]
对于精神病患者来说，这只能是最糟糕的情况。因此，我问那些认为最糟糕的情况是自己的死亡的人：“你的死亡加上你的孩子、侄子、表亲、猫、狗、长尾小鹦鹉和仓鼠（如果你有上述任何一种）的死亡比你自己的死亡更糟糕吗？答案是肯定的。你的死亡加上你的孩子、侄子、表亲（……）以及全人类的死亡比你自己的死亡更糟糕吗？答案是肯定的。那么你的死亡怎么会是最糟糕的结果呢？[1]
Thus we get the point that individual ruin is not as big a deal as the collective one. And of course ecocide, the irreversible destruction of the environment, is the big one to worry about.
因此，我们认识到个人毁灭并不像集体毁灭那么严重。当然，生态灭绝，即不可逆转的环境破坏，才是最令人担忧的。
To use the ergodic framework: My death at Russian roulette is not ergodic for me but it is ergodic for the system. The precautionary principle, in the formulation I did with a few colleagues, is precisely about the highest layer.
用遍历框架来说：我在俄罗斯轮盘赌上的死亡对我来说不是遍历的，但对系统来说是遍历的。在我和几位同事制定的预防原则中，预防原则恰恰与最高层有关。
About every time I discuss the precautionary principle, some overeducated pundit suggests that “we cross the street by taking risks”, so why worry so much about the system? This sophistry usually causes a bit of anger on my part. Aside from the fact that the risk of being killed as a pedestrian is one per 47,000 years, the point is that my death is never the worst case scenario unless it correlates to that of others.
每次我讨论预防原则时，总有受过高等教育的专家提出“我们通过冒险过马路”，那么为什么要那么担心这个制度呢？这种诡辩通常让我有点生气。除了作为行人被杀的风险是每 47,000 年一次这一事实之外，重点是，除非我的死亡与其他人有关，否则我的死亡永远不是最糟糕的情况。
I have a finite shelf life, humanity should have an infinite duration.
Or
I am renewable, not humanity or the ecosystem.
Even worse, as I have shown in Antifragile, the fragility of the components is required to ensure the solidity of the system. If humans were immortals, they would go extinct from an accident, or from a gradual buildup of misfitness. But shorter shelf life for humans allows genetic changes to accompany the variability in the environmen
我的寿命有限，而人类应该有无限的寿命。
或者
我是可再生的，而不是人类或生态系统。
更糟糕的是，正如我在《反脆弱》中所展示的那样，组件的脆弱性是确保系统坚固性的必要条件。如果人类是不朽的，他们会因事故或逐渐积累的不适应而灭绝。但人类较短的保质期允许基因变化伴随环境的变化。t.
Courage And Precaution Aren’t Opposite
勇气和谨慎并不对立
How can courage and prudence be both classical virtues? Virtue, as presented in Aristotle’s Nichomachean Ethics includes: sophrosyne (σωφροσύνη), prudence, a form of sound judgment he called more broadly phronesis. Aren’t these inconsistent with courage?
勇气和谨慎怎么会都是古典美德呢？亚里士多德的《尼各马可伦理学》中提出的美德包括：sophrosyne（σωφροσύνη）、谨慎，以及一种被他更广泛地称为 phronesis 的健全判断。这些难道不是与勇气不一致吗？
In our framework, they are not at all. They are actually, as Fat Tony would say, the same ting. How?
在我们的框架中，它们根本不是一回事。正如胖子托尼所说，它们实际上是同一件事。为什么？
I can exercise courage to save a collection of kids from drowning, and it would also correspond to some form of prudence. I am sacrificing a lower layer in Figure x for the sake of a higher one.
我可以鼓起勇气去救一群溺水的孩子，这也符合某种形式的谨慎。我牺牲了图 x 中的较低层，以换取较高层。
Courage, according to the Greek ideal that Aristotle inherited–say the Homeric and the ones conveyed through Solon, Pericles, and Thucydides, is never a selfish action:
根据亚里士多德继承的希腊理想，勇气——荷马史诗以及通过梭伦、伯里克利和修昔底德传达的理想——绝不是一种自私的行为：
Courage is when you sacrifice your own wellbeing for the sake of the survival of a layer higher than yours.
勇气就是为了比你高一层的人们的生存而牺牲自己的福祉。
As we can see it fits into our table of preserving the sustainability of the system.
我们可以看到，它符合我们维护系统可持续性的表格。
A foolish gambler is not committing an act of courage, especially if he is risking other people’s funds or has a family to feed. And other forms of sterile courage aren’t really courage.[2]
愚蠢的赌徒并不是勇敢之举，尤其是当他拿别人的钱冒险或要养家糊口时。其他形式的无用勇气并不是真正的勇气。[2]
Rationality, again
再次强调，理性
The last chapter presented rationality in terms of actual decisions, not what is called “beliefs” as these may be adapted to prevent us in the most convincing way to avoid things that threaten systemic survival. If superstitions is what it takes, not only there is absolutely no violation of the axioms of rationality there, but it would be technically irrational to stand in its way.
上一章从实际决策的角度介绍了理性，而不是所谓的“信念”，因为这些信念可能会以最令人信服的方式阻止我们避免威胁系统生存的事情。如果迷信就是必需的，那么这不仅绝对没有违反理性的公理，而且从技术上讲，阻碍它也是非理性的。
Let us return to Warren Buffett. He did not make his billions by cost benefit analysis, rather, simply by establishing a high filter, then picking opportunities that pass such threshold. “The difference between successful people and really successful people is that really successful people say no to almost everything.” He wrote. Likewise our wiring might be adapted to “say no” to tail risk. For there are zillion ways to make money without taking tail risk. There are zillion ways to solve problems (say feed the world) without complicated technologies that entail fragility and an unknown possibility of tail risks.
让我们回到沃伦·巴菲特。他不是通过成本效益分析赚到数十亿美元的，而是简单地建立了一个高过滤器，然后选择通过该阈值的机会。“成功人士和真正成功人士之间的区别在于，真正成功人士几乎对所有事情都说不。”他写道。同样，我们的思维方式也可能适应对尾部风险“说不”。因为有无数种方法可以赚钱而不承担尾部风险。有无数种方法可以解决问题（比如养活世界），而无需使用复杂的技术，这些技术会带来脆弱性和未知的尾部风险可能性。
Indeed, it doesn’t cost us much to refuse some new shoddy technologies. It doesn’t cost me much to go with my “refined paranoia”, even if wrong. For all it takes is for my paranoia to be right once, and it would have saved my life.
确实，拒绝一些低劣的新技术并不会给我们带来太多损失。坚持我的“精炼偏执”也不会给我带来太多损失，即使它是错误的。因为我的偏执只要有一次是对的，它就能救我一命。
Love Some Risks
我们必须喜爱某些风险（必要的时候冒险）
Antifragile revolves around the idea that people confuse risk of ruin with variations –a simplification that violates a deeper, more rigorous logic of things. It makes the case for risk loving, systematic “convex” tinkering, taking a lot of risks that don’t have tail risks but offer tail profits. Volatile things are not necessarily risky, and the reverse. Jumping from a bench would be good for you and your bones, while falling from the twenty-second floor will never be so. Small injuries will be beneficial, never larger ones. Fearmonging about some class of events is fearmonging; about others it is not. Risk and ruin are different tings.
反脆弱性的核心思想是，人们混淆了破产风险和变化——这种简单化违背了事物更深层、更严格的逻辑。它主张热爱风险，系统性地“凸”调整，承担大量没有尾部风险但能带来尾部利润的风险。波动性大的东西不一定有风险，反之亦然。从长凳上跳下来对你和你的骨头有好处，而从二十二楼摔下来则永远不会有好处。小伤有益，大伤则无益。对某些事件散布恐慌是散布恐慌，对其他事件则不是。风险和破产是两码事。
Technical Notes
[1] Actually, I usually joke my death plus someone I don’t like such as the psychologist Steven Pinker surviving is worse than just my death.
[2] To show the inanity of social science, they have to muster up the sensationalism of “mirror neurons”
[i] The following question arises. Ergodicity is not statistically identifiable, not observable, and there is no test for time series that gives ergodicity, similar to Dickey-Fuller for stationarity (or Phillips-Perron for integration order). More crucially: if your result is obtained from the observation of a times series, how can you make claims about the ensemble probability measure?
The answer is similar to arbitrage, which has no statistical test but, crucially, has a probability measure determined ex ante (the “no free lunch” argument). Further, consider the argument of a “self-financing” strategy, via, say, dynamic hedging. At the limit we assume that the law of large numbers will compress the returns and that no loss and no absorbing barrier will ever be reached. It satisfies our criterion of ergodicity but does not have a statistically obtained measure. Further, almost all the literature on intertemporal investments/consumption requires absence of ruin.
We are not asserting that a given security or random process is ergodic, but that, given that its ensemble probability (obtained by cross-sectional methods, assumed via subjective probabilities, or, simply, determined by arbitrage arguments), a risk-taking strategy should conform to such properties. So ergodicity concerns the function of the random variable or process, not the process itself. And the function should not allow ruin.
In other words, assuming the SP500 has a certain expected return “alpha”, an ergodic strategy would generate a strategy, say Kelly Criterion, to capture the assumed alpha. If it doesn’t, because of absorbing barrier or something else, it is not ergodic.
技术型说明
[1] 实际上，我经常开玩笑说我的死亡加上我不喜欢的人（例如心理学家 Steven Pinker）的幸存比我的死亡更糟糕。
[2] 为了表明社会科学的空洞，他们必须鼓起“镜像神经元”的轰动效应
[i] 出现了以下问题。遍历性在统计上不可识别，不可观察，并且没有针对时间序列的测试可以给出遍历性，类似于 Dickey-Fuller 的平稳性（或 Phillips-Perron 的积分阶）。更重要的是：如果您的结果是从对时间序列的观察中获得的，那么您如何对集合概率测度提出主张？
答案类似于套利，它没有统计测试，但至关重要的是，它有一个事前确定的概率测度（“没有免费午餐”论点）。此外，考虑通过动态对冲等“自筹资金”策略的论点。在极限情况下，我们假设大数定律将压缩收益，并且永远不会出现损失和吸收障碍。它满足我们的遍历性标准，但没有统计上获得的衡量标准。此外，几乎所有关于跨期投资/消费的文献都要求不存在破产。
我们并不是断言给定的证券或随机过程是遍历的，而是假设其集合概率（通过横截面方法获得，通过主观概率假设，或者简单地由套利论证确定），冒险策略应该符合这些属性。因此，遍历性涉及随机变量或过程的函数，而不是过程本身。并且该函数不应该允许破产。
换句话说，假设 SP500 具有一定的预期回报“alpha”，遍历策略将生成一个策略，例如凯利标准，以捕捉假设的 alpha。如果没有，由于吸收障碍或其他原因，它就不是遍历的。
