Ann: Funds Under Management - October 2022, page-17

The clue is that your portfolio of such investments should never comprise a position of 1 (as I said, position constraint is crucial).

Of course, no hindsight-based process would sensibly invest in anything that went to zero. But I don't have a crystal ball to apply a hindsight-based process.

If I offered you 200x your money if a dice rolls 6, but a complete wipeout on every other roll - would you take the bet? You should, it would net you an expected return of over 30%, over several bets. On most rolls however you'd lose everything (that you bet). So clearly, the key is to constrain your bet size.