凯利公式：避免毁灭Kelly Criterion: Avoid Ruin
Nivi：我们来聊聊凯利公式吧。
Naval：凯利公式是一个简单概念的数学化表述，如今广为人知。这个简单概念就是：不要拿一切去冒险。别把自己送进监狱。不要把全部筹码押在一次豪赌上。每次下注都要小心掂量，免得输光整个家底。
如果你是个赌徒，凯利公式会用数学方法算出你每局应该押多少，即便你占上风——因为即使占上风，你还是可能输。假设你的胜率是51比49。每个赌徒都知道，不该把全部家当押在这个51比49的优势上——因为你可能会输得精光，再也无法回到平均值。
纳西姆·塔勒布曾有名地谈论过遍历性——这是个听起来很高深的词，表达的概念其实很简单：对100个人平均而言成立的东西，与同一个人把同一件事做100次后得到的平均值，并不是一回事。
毁掉声誉与归零无异
最容易理解这一点的方式是俄罗斯轮盘赌。假设六个人各玩一次俄罗斯轮盘赌，每个幸存者赢得10亿美元。结果是一个人死掉，五个人各得10亿美元。再对比一下：同一个人用同一把枪玩六次俄罗斯轮盘赌。他绝不可能成为亿万富翁——他会死掉，身价归零。所以，冒险——尤其是当平均数是跨大量人群计算出来的时候——并不总是理性的。
凯利公式能帮你避免毁灭。在现代商业中，人们走向毁灭的头号原因并不是下注太多，而是偷工减料、做不道德甚至彻头彻尾违法的事。最终穿上橙色囚服锒铛入狱，或者毁掉自己的声誉，与归零无异——所以永远不要做这些事。
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. One person ends up dead and five people get $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.