凯利准则：避免破产
凯利准则：避免破产
不要毁掉你的声誉或被清零
Nivi: 我们来聊聊凯利准则。
Naval: 凯利准则是一个简单概念的数学化表述。这个简单概念就是：不要冒险押上一切。远离监狱。不要把所有赌注都押在一次大赌局上。每次下注要小心谨慎，这样才不会输光全部本金。
如果你是个赌徒，凯利准则从数学上表述了你每手应该下注多少，即使你占有优势——因为即使你占有优势，你仍然可能输。假设你有51比49的优势。每个赌徒都知道不应该把全部本金押在这个51比49的优势上——因为你可能会输光一切，无法等到平均值回归。
纳西姆·塔勒布著名地谈论过遍历性，这是一个花哨的词，代表一个简单的概念：对100个人平均而言成立的事情，与一个人经历100次同样的事情的平均结果并不相同。
毁掉你的声誉与被清零是一样的
最容易理解这一点的方式是通过俄罗斯轮盘赌。假设六个人每人玩一次俄罗斯轮盘赌，每个赢家获得10亿美元。一个人最终死亡，五个人获得10亿美元。将这个与一个人用同一把枪玩六次俄罗斯轮盘赌进行比较。他们永远不会成为亿万富翁——他们会死亡并且价值为零。所以冒险——尤其是当平均值是在大群体中计算时——并不总是理性的。
凯利准则帮助你避免破产。在现代商业中，人们破产的首要方式不是下注太多；而是走捷径、做不道德或完全非法的事情。最终穿着橙色连体服入狱或毁掉你的声誉与被清零是一样的——所以永远不要做那些事情。
Kelly Criterion: Avoid Ruin
Don’t ruin your reputation or get wiped to zero
Nivi: Let’s chat about the Kelly criterion.
Naval: The Kelly criterion is a popularized mathematical formulation of a simple concept. The simple concept is: Don’t risk everything. Stay out of jail. Don’t bet everything on one big gamble. Be careful how much you bet each time, so you don’t lose the whole kitty.
If you’re a gambler, the Kelly criterion mathematically formulates how much you should wager per hand, even if you have an edge—because even when you have an edge, you can still lose. Let’s say you have 51-to-49 edge. Every gambler knows not to bet the whole kitty on that 51-to-49 edge—because you could lose everything and won’t get to come back to the average.
Nassim Taleb famously talks about ergodicity, which is a fancy word for a simple concept: What is true for 100 people on average isn’t the same as one person averaging that same thing 100 times.
Ruining your reputation is the same as getting wiped to zero
The easiest way to see that is with Russian roulette. Say six people play Russian roulette one time each, and each winner gets 1 billion. Compare that to one person playing Russian roulette six times with the same gun. They are never going to end up a billionaire—they will be dead and worth zero. So risk-taking—especially when the averages that are calculated across large populations—is not always rational.
The Kelly criterion helps you avoid ruin. The number one way people get ruined in modern business is not by betting too much; it’s by cutting corners and doing unethical or downright illegal things. Ending up in an orange jumpsuit in prison or ruining your reputation is the same as getting wiped to zero—so never do those things.