原創(chuàng) Dorian君 灰?guī)r金融科技 2020-06-17 16:38
塔勒布.納西姆是華爾街令人生畏的學(xué)者以及期權(quán)交易員之一。
他所共同創(chuàng)立的對(duì)沖基金Universa在疫情三月的崩盤中斬獲3612%的收益。
Universa是近期華爾街非常流行的“黑天鵝”型對(duì)沖基金，具體的理念就是認(rèn)為黑天鵝事件的發(fā)生是常態(tài)，與其去通過short vol獲得穩(wěn)定持續(xù)的theta以及vega的收益，然后300天賺錢一天虧完倒不如通過承受300個(gè)交易日的虧損,通過短短幾個(gè)交易日的黑天鵝行情以獲得巨大無比的Gamma。
誠然這種策略具有一定的風(fēng)險(xiǎn)，往往巨大的收益后面伴隨著難忍的回撤，這也往往被專業(yè)投顧認(rèn)為是備受爭議的一種杠鈴式交易策略。
他在其著名的著作，黑天鵝三部曲以及不確定性五部曲中，詳細(xì)地闡述他關(guān)于風(fēng)險(xiǎn)共擔(dān)，風(fēng)險(xiǎn)，概率以及厚尾風(fēng)險(xiǎn)事件的理解。他經(jīng)常提到的，風(fēng)險(xiǎn)共擔(dān)（skin in the game)的原則適用于生活中的方方面面,簡單來說就是Taleb Nassim 相信在社會(huì)以及市場的發(fā)展中，專業(yè)人士應(yīng)當(dāng)和其客戶共同承受其風(fēng)險(xiǎn)，并且共享利益。而不是讓客戶或是人民承受所有潛在的風(fēng)險(xiǎn)。
舉例來說，通過銷售房產(chǎn)獲得利潤的銷售員，或是幫助客戶挑選股票獲得收益的分析師，他們本身并不一定有能力購買房產(chǎn)甚至是購買自己所推薦的股票，這將導(dǎo)致一個(gè)潛在的巨大的道德風(fēng)險(xiǎn)（moral harzard)以及利益沖突(conflict of interests)。那就是當(dāng)客戶本身虧錢，服務(wù)提供者仍然獲利。
在學(xué)術(shù)圈，缺乏風(fēng)險(xiǎn)共擔(dān)的例子層出不窮。比如說我們的大學(xué)教授本身在行業(yè)有許多并非真的具有相關(guān)的從業(yè)經(jīng)驗(yàn)（比如說經(jīng)濟(jì)學(xué)教授不炒股，教CS的教授沒寫過網(wǎng)站或是APP)這就是為什么這些所謂的專家學(xué)者甚至是評(píng)論家在缺乏相關(guān)從業(yè)經(jīng)驗(yàn)的情況下反而被吃瓜群眾誤認(rèn)為是“專家”的原因。
他本人用這個(gè)作為案例說明社會(huì)以風(fēng)險(xiǎn)共擔(dān)（skin in the game)為指導(dǎo)原則的重要性。而他本人亦相信社會(huì)進(jìn)化的一個(gè)重要前提就是社會(huì)遵循一個(gè)自由公平的競爭，并且通過風(fēng)險(xiǎn)共擔(dān)作為標(biāo)準(zhǔn)要求執(zhí)政者以及相關(guān)領(lǐng)域的專家，讓他們?yōu)樽约旱臎Q策成本付出代價(jià)，承受和客戶以及人民一樣的風(fēng)險(xiǎn)，以此作為一個(gè)過濾方式（filter)來讓社會(huì)作為一個(gè)集體不斷進(jìn)化。
作為交易員，長期的交易讓我們擁有將看不見，難以估算的風(fēng)險(xiǎn)量化，具化的能力。這也使得塔勒布納西姆站在他對(duì)于風(fēng)險(xiǎn)的敏銳感知的基礎(chǔ)上去提出我們社會(huì)未來提升發(fā)展的方向。他的文章充滿著哲學(xué)的術(shù)語，甚至是粗口還有公式，因此難免有些艱澀難懂，但是他的思考以及文章無疑值得一讀。
塔勒布本人非常有意思，他本人在學(xué)術(shù)圈也有不可忽視的貢獻(xiàn)，他的多語言才能和他的交易能力一樣令人羨慕。因此他本人具備一種學(xué)者+戰(zhàn)士的獨(dú)特氣質(zhì)，這樣的氣質(zhì)能夠從他的文章中讀到并且感受到。
倘若不理解以上的內(nèi)容，就難以理解Taleb Nassim所寫的以下文章：
下文來自于Taleb Nassim 本人的博客：
What do I mean by Skin in the Game? My Own Version
我說的風(fēng)險(xiǎn)共擔(dān)究竟意味著什么？我自己的詮釋
When selecting a surgeon for your next brain procedure, should you pick a surgeon who looks like a butcher or one who looks like a surgeon? The logic of skin in the game implies you need to select the one who (while credentialed) looks the least like what you would expect from a surgeon, or, rather, the Hollywood version of a surgeon.
在為下一個(gè)腦部手術(shù)選擇外科醫(yī)生時(shí)，我們應(yīng)該選擇一個(gè)看起來像屠夫的外科醫(yī)生還是一個(gè)看起來像外科醫(yī)生的外科醫(yī)生？風(fēng)險(xiǎn)共擔(dān)的邏輯意味著我們需要選擇一個(gè)（雖然有證書）看起來最不像外科醫(yī)生（刻板印象）或好萊塢版外科醫(yī)生所期望的人。
The same logic mysteriously answers many vital questions, such as 1) the difference between rationality and rationalization, 2) that between virtue and virtue signaling, 3) the nature of honor and sacrifice, 4) Religion and signaling (why the pope is functionally atheist) 5) the justification for economic inequality that doesn’t arise from rent seeking, 6) why to never tell people your forecasts (only discuss publicly what you own in your portfolio) and, 7) even, how and from whom to buy your next car.
相同的邏輯神秘地回答了許多重要的問題，例如
1）理性與合理化之間的差異，
2）美德與美德信號(hào)(想讓別人認(rèn)為自己是好人）之間的差異，
3）榮譽(yù)與犧牲的性質(zhì)，
4）宗教與宗教信號(hào)（意味著想讓別人認(rèn)為自己非常虔誠，以及為什么教皇從其性質(zhì)以及功能上是無神論者）
5）權(quán)力尋租不會(huì)產(chǎn)生經(jīng)濟(jì)不平等的理由；
6）為什么交易員甚至是分析師從不告訴別人自己的預(yù)測（只公開討論在投資組合中所擁有的財(cái)產(chǎn)）；
7）甚至，如何以及從誰那里購買自己的房地產(chǎn)以及下一輛車。
What is Skin in the Game? The phrase is often mistaken for one-sided incentives: the promise of a bonus will make someone work harder for you. For the central attribute is symmetry: the balancing of incentives and disincentives, people should also penalized if something for which they are responsible goes wrong and hurts others: he or she who wants a share of the benefits needs to also share some of the risks.
那么到底什么是風(fēng)險(xiǎn)共擔(dān)呢（skin in the game）？
這句話經(jīng)常被誤認(rèn)為是單方面的激勵(lì)措施：獎(jiǎng)金的承諾會(huì)使某人為我們努力工作。
這個(gè)原則的核心是風(fēng)險(xiǎn)以及預(yù)期收益的對(duì)稱性，也就是激勵(lì)與抑制的平衡。用最簡單的話說就是如果人們所負(fù)責(zé)的事情出了錯(cuò)并傷害了他人，那么人們也應(yīng)該受到懲罰：想要分享利益的人也需要分擔(dān)一些風(fēng)險(xiǎn)。
My argument is that there is a more essential aspect: filtering and the facilitation of evolution. Skin in the game –as a filter –is the central pillar for the organic functioning of systems, whether humans or natural. Unless consequential decisions are taken by people who pay for the consequences, the world would vulnerable to total systemic collapse. And if you wonder why there is a current riot against a certain class of self-congratulatory “experts”, skin the game will provide a clear answer: the public has viscerally detected that some “educated” but cosmetic experts have no skin in the game and will never learn from their mistakes, whether individually or, more dangerously, collectively.
我的論點(diǎn)是，還有一個(gè)更重要的方面：
過濾以及進(jìn)化本身對(duì)于風(fēng)險(xiǎn)共擔(dān)的重要性。
風(fēng)險(xiǎn)共擔(dān)是系統(tǒng)（無論是人類還是自然的）有機(jī)功能的核心支柱。除非我們?yōu)楹蠊袚?dān)責(zé)任的人做出相應(yīng)的決定，否則世界將很容易遭受系統(tǒng)性全面崩潰（systemic risks)的傷害。而且，如果我們知道為什么當(dāng)前會(huì)發(fā)生針對(duì)某類自我陶醉，孤芳自賞的有關(guān)“專家”的騷擾甚至是闖下無可彌補(bǔ)的大錯(cuò)。
那么風(fēng)險(xiǎn)共擔(dān)這一基本原則將給出一個(gè)明確的答案：公眾已經(jīng)內(nèi)心地發(fā)現(xiàn)某些“受過教育”但這些所謂的專家事實(shí)上并沒有真正的具備從事相關(guān)領(lǐng)域的經(jīng)驗(yàn)，甚至是風(fēng)險(xiǎn)共擔(dān)。這意味著這些所謂的“專家”們將永遠(yuǎn)不會(huì)從他們的錯(cuò)誤中汲取教訓(xùn)，無論是單獨(dú)的或更危險(xiǎn)的是集體的錯(cuò)誤。
Have you wondered why, on high-speed highways there are surprisingly few rogue drivers who could, with a simple manoeuver, kill scores of people? Well, they would also kill themselves and most dangerous drivers are already dead (or with suspended license). Driving is done under the skin in the game constraint, which acts as a filter. It’s a risk management tool by society, ingrained in the ecology of risk sharing in both human and biological systems. The captain who goes down with the ship will no longer have a ship. Bad pilots end up in the bottom of the Atlantic Ocean; risk-blind traders become taxi drivers or surfing instructors (if they traded their own money).
這樣的例子并非鮮見。尤其在交通事故上面尤然。
為什么在高速公路上，很少有流氓駕駛員能夠通過簡單的操縱就殺死數(shù)十人？好吧，他們也許是自殺，并且大多數(shù)危險(xiǎn)的駕駛員已經(jīng)死亡（或持有吊銷駕照）。
駕駛汽車是典型的風(fēng)險(xiǎn)共擔(dān)的完美案例，這些交通案例將充當(dāng)社會(huì)本身的篩選器（filter)。通過建立交通法規(guī)以及懲罰條例來約束駕駛者本身。因此它是社會(huì)的一種風(fēng)險(xiǎn)管理工具，這也源于根深蒂固在人類和生物系統(tǒng)中的風(fēng)險(xiǎn)共擔(dān)生態(tài)。比如說隨船沉沒的船長將不再有船或是糟糕的飛行員最終到達(dá)了大西洋的底部乃至風(fēng)險(xiǎn)盲目的商人最終破產(chǎn)并成為出租車司機(jī)或沖浪教練（如果他們自己交易自己的資產(chǎn)的話）。
Systems don’t learn because people learn individually –that’s the myth of modernity. Systems learn at the collective level by the mechanism of selection: by eliminating those elements that reduce the fitness of the whole, provided these have skin in the game. Food in New York improves from bankruptcy to bankruptcy, rather than the chefs individual learning curves –compare the food quality in mortal restaurants to that in an immortal governmental cafeteria. And in the absence of the filtering of skin in the game, the mechanisms of evolution fail: if someone else dies in your stead, the built up of asymmetric risks and misfitness will cause the system to eventually blow-up.
系統(tǒng)本身無法自我學(xué)習(xí)，因此讓個(gè)體各自學(xué)習(xí)系統(tǒng)本身的謬誤，這就是現(xiàn)代社會(huì)系統(tǒng)的巨大錯(cuò)誤。社會(huì)系統(tǒng)通過選擇機(jī)制在集體層面上學(xué)習(xí)：通過消除那些會(huì)降低整體適應(yīng)性的因子（把那些無法自我學(xué)習(xí)進(jìn)步的個(gè)體淘汰掉），只要這些個(gè)體本身有風(fēng)險(xiǎn)共擔(dān)的意識(shí)。舉個(gè)例子，紐約的美食是通過客人用腳投票，餐廳破產(chǎn)而篩選以提升的，而不是通過廚師個(gè)人的學(xué)習(xí)曲線來展現(xiàn)出來的。（因?yàn)榻^大部分廚師收取固定工資，所以缺乏動(dòng)力改變餐食品質(zhì)，因?yàn)閺N師并不承擔(dān)餐廳運(yùn)營慘淡的風(fēng)險(xiǎn)）錯(cuò)誤的是我們用普通餐廳的食物質(zhì)量與不朽的政府食堂的食物質(zhì)量進(jìn)行比較。而且在風(fēng)險(xiǎn)共擔(dān)原則的情況下，社會(huì)自身進(jìn)化機(jī)制就會(huì)失敗：如果有人替你的風(fēng)險(xiǎn)買單，甚至為你背鍋死亡，那么不對(duì)稱風(fēng)險(xiǎn)和不當(dāng)適應(yīng)的積累將導(dǎo)致系統(tǒng)最終崩潰（集體的瀆職）。
Yet the social science and the bureaucrato-BSers have missed and keeps missing that skin in the game is an essential filter. Why? Because, outside of hard science, scholars who do not have skin in the game fail to get that while in academia there is no difference between academia and the real world, in the real world, there is. They teach evolution in the classrooms but, because they are not doers, they don’t believe that evolution applies to them; they almost unanimously vote in favor of a large state and advocate what I’ve called “Soviet-Harvard top-down intelligent design” in social life.
然而，社會(huì)科學(xué)和官僚主義者滿嘴謊言（塔勒布本人經(jīng)常喜歡在文章爆粗）的時(shí)代已經(jīng)過去了，并且一直在錯(cuò)過，甚至是忽視風(fēng)險(xiǎn)共擔(dān)的機(jī)會(huì)，這是必不可少的社會(huì)過濾器。為什么？因?yàn)椋擞部茖W(xué)之外，沒有風(fēng)險(xiǎn)共擔(dān)的學(xué)者（自己本身亦沒有類似的從業(yè)經(jīng)驗(yàn)）無法得出結(jié)論，而在學(xué)術(shù)界，學(xué)術(shù)界與現(xiàn)實(shí)世界之間并沒有區(qū)別，在現(xiàn)實(shí)世界中卻沒有。他們在教室里教授進(jìn)化論，但由于他們不是行動(dòng)者，所以他們不認(rèn)為進(jìn)化論適用于他們。他們幾乎一致投票贊成一個(gè)大國，并在社交生活中倡導(dǎo)我所謂的“蘇維埃自上而下的蘇維埃智能設(shè)計(jì)”。
As illustrated by the story of the surgeon, you can tell, from the outside, if a discipline has skills and expertise, from the presence of the pressures of skin in the game and some counterintuitive consequences. But what we call “empty suits”, of the kind you see in think tanks or large corporations –those who want to increasingly run our lives or intervene in Libya — look like actors playing the part, down to their vocabulary and the multiplicative meetings.Talk is cheap and people who talk and don’t do are easily detectable by the public because they are too good at talking.
正如外科醫(yī)生這一例子對(duì)我們所說明的那樣，我們可以從系統(tǒng)外部發(fā)現(xiàn)風(fēng)險(xiǎn)共擔(dān)這一原則的存在和某些違反直覺的直接后果中我們可以得知某個(gè)學(xué)科或者領(lǐng)域是否具有相關(guān)的技能和專業(yè)知識(shí)。但是，我們認(rèn)定的“腦袋空空如也的西裝黑衣人”，正如我們在智囊團(tuán)或大型金融機(jī)構(gòu)甚至是公司中所看到的那樣-那些想要越來越多地介入甚至控制我們的生活方式或武裝侵略利比亞的人-他們看起來就像演員在扮演各自的角色，從他們口中的套話以及假大空和數(shù)不清會(huì)議就可以發(fā)現(xiàn)?？瓷先フ椒欠驳臅?huì)議。談空話是很low的，不說話的人很容易被公眾發(fā)現(xiàn)，因?yàn)樗麄兲珪?huì)說話了。
Plumbers, bakers, engineers, and piano tuners are judged by their clients, doctors by their patients (and malpractice insurers), and small town mayors by their constituents. The works of mathematicians, physicists, and hard scientists are judged according to rigorous and unambiguous principles. These are experts, plus or minus a margin of error. Such selection pressures from skin in the game apply to perhaps 99% of the population. But it is hard to tell if macroeconomists, behavioral economists, psychologists, political “scientists” and commentators, and think-tank policymakers are experts. Bureaucrato-academics tend to be judged by other bureaucrats and academics, not by the selection pressure of reality. This judgment by peers only, not survival, can lead to the pestilence of academic citation rings. The incentive is to be published on the right topic in the right journals, with well sounding arguments, under easily some contrived empiricism, in order to beat the metrics.
水管工，面包師，工程師和鋼琴調(diào)音師的水平只能交由其客戶評(píng)判，而醫(yī)生本人的實(shí)際執(zhí)業(yè)水平則是交由其患者以及相關(guān)醫(yī)療事故保險(xiǎn)公司做評(píng)判，而小鎮(zhèn)市長的管理水平則由其評(píng)判委員會(huì)來評(píng)判。對(duì)于數(shù)學(xué)家，物理學(xué)家以及艱澀難懂的科學(xué)家的水平則有著嚴(yán)格而明確的原則以進(jìn)行相應(yīng)的評(píng)判以及評(píng)論。這些個(gè)體都是各個(gè)領(lǐng)域的專家，即便是計(jì)算上誤差幅度亦如此。風(fēng)險(xiǎn)共擔(dān)這一原則的選擇標(biāo)準(zhǔn)可能適用于99％的人口。但是，我們很難通過確定的原則去評(píng)價(jià)宏觀經(jīng)濟(jì)學(xué)家，行為經(jīng)濟(jì)學(xué)家，心理學(xué)家，政治“科學(xué)家”和評(píng)論員以及智囊團(tuán)決策者的水平，我們難以判斷他們是否是其領(lǐng)域的專家。尤其在官僚主義學(xué)術(shù)界更甚。他們的水平往往由其他官僚主義和學(xué)者來評(píng)判，而不是由現(xiàn)實(shí)的選擇壓力來評(píng)判。僅同行的這種判斷而不是生存的判斷會(huì)導(dǎo)致學(xué)術(shù)引用環(huán)的瘟疫。激勵(lì)措施將在適當(dāng)?shù)慕?jīng)驗(yàn)主義下，以正確的論點(diǎn)在正確的期刊上以正確的主題發(fā)布，以擊敗指標(biāo)。
Accountants (that is, bankruptcy or its absence), not other “peer” forecasters, nor referees using metrics should be judging forecasters. Metrics are always always gamed: a politician can load the system with debt to “improve growth and GDP”, and let his successor deal with the delayed results.
會(huì)計(jì)師（即破產(chǎn)或缺席），而不是其他“同級(jí)別”的預(yù)測員，或者使用度量標(biāo)準(zhǔn)的裁判員都應(yīng)該對(duì)預(yù)測員進(jìn)行評(píng)審。我們用以評(píng)估的度量標(biāo)準(zhǔn)總是被操縱甚至是愚弄的：政客可以為債務(wù)負(fù)擔(dān)沉重的債務(wù)，以``提振經(jīng)濟(jì)增長和GDP''，并讓他的繼任者處理政策效果延遲的結(jié)果。
Alas, you can detect the degradation of the aesthetics of buildings when architects are judged by other architects. So the current rebellion against bureaucrats whether in DC or Brussels simply comes from the public detection of a simple principle: the more micro the more visible one’s skills. To use the language of complexity theory, expertise is scale dependent. And, ironically, the more complex the world becomes, the more the role of macro-deciders “empty suits” with disproportionate impact should be reduced: we should decentralize (so actions are taken locally and visibly), not centralize as we have been doing.
啊！當(dāng)其他建筑師評(píng)判建筑師時(shí)，他們才可以真正意識(shí)到建筑美學(xué)真正的在下降。因此，無論是在哥倫比亞特區(qū)還是在布魯塞爾，當(dāng)前針對(duì)官僚的反叛都是來自公眾對(duì)一個(gè)簡單原則的發(fā)現(xiàn)：越是通過微觀來看，人們的本身的技能就越明顯。要使用復(fù)雜性理論的語言，專業(yè)知識(shí)取決于規(guī)模。
具有諷刺意味的是，世界越復(fù)雜，應(yīng)減少具有決定性影響的宏觀決策者“腦袋空空的西裝人”的作用：我們應(yīng)該下放權(quán)力（這樣才能在本地和明顯地采取行動(dòng)），而不是像過去那樣集中所有的權(quán)力 。
In addition, owning one’s risk was an unescapable moral code for past four millennia, until very recent times. War mongers were required to be warriors. Fewer than a third of Roman emperors died in their bed (assuming those weren’t skillfully poisoned). Status came with increased exposure to risk: Alexander, Hannibal, Scipio, and Napoleon were not only first in battle, but derived their authority from a disproportionate exhibition of courage in previous campaigns. Courage is the only virtue that can’t be faked (or gamed like metrics). Lords and knights were individuals who traded their courage for status, as their social contract was an obligation to protect those who granted them their status. This primacy of the risk-taker, whether warrior (or, critically, merchant), prevailed almost all the time in almost every human civilization; exceptions, such as Pharaonic Egypt or Ming China, in which the bureaucrat-scholar moved to the top of the pecking order were followed by collapse.
此外，讓他人為自己冒險(xiǎn)是過去四千年來直到最近的一個(gè)不可回避的道德準(zhǔn)則。戰(zhàn)爭販子本身必須是戰(zhàn)士。不到三分之一的羅馬皇帝在床上喪生（假設(shè)這些人沒有被毒死）。身份以及權(quán)力本身帶來的風(fēng)險(xiǎn)越來越多：亞歷山大，漢尼拔，西皮奧和拿破侖不僅在戰(zhàn)斗中首屈一指，而且還源于先前戰(zhàn)役中不成比例的勇氣展示。勇氣是唯一不能偽造（或像操弄數(shù)據(jù)甚至是經(jīng)濟(jì)指標(biāo)這套玩法）的優(yōu)點(diǎn)。上尉和騎士是為了地位而交換勇氣的人，因?yàn)樗麄兊纳鐣?huì)契約是保護(hù)授予他們地位的人的義務(wù)。冒險(xiǎn)家的這種首要地位，無論是戰(zhàn)士（還是至關(guān)重要的商人），幾乎在所有人類文明中始終盛行。例外，例如法老埃及或中國明朝，當(dāng)這些玩弄數(shù)據(jù)以及意識(shí)形態(tài)的官僚學(xué)者爬到了社會(huì)乃至國家秩序的頂端，國家以及社會(huì)隨之便崩潰了。
