http://www.fooledbyrandomness.com/
http://www.amazon.com/Nassim-Nicholas-Taleb/e/B000APVZ7W
Structuring the trades to reduce your exposure to downside risk while increasing your exposure to upside from unanticipated random events is the hard strategy to implement, but it is the sole strategy for avoiding a gambler's ruin.
It sounds more regal when you say "structure the trades to reduce your exposure to downside risk while increasing your exposure to upside from unanticipated random events" though.
Given Taleb's understanding and belief in randomness of the market, I see him as "creating his own lotteries" using rather sophisticated techniques that have paid off very well. The cost of entry is small and the potential rewards are high but he loses regularly and consistently and says he was grateful to be in a position where he could execute such a strategy without being looked down upon by his superiors (from Fooled By Randomness).
That is why Wall Street is #1.
Then you start another Wall Street firm. Ben will chip in the funding for basically free if you are well connected.
(This is also why Wall Street pays out all profit to real people, instead of keeping it within the firm.)
More precisely, it's akin to buying mispriced lottery tickets with a high positive expected payoff that hasn't been priced in yet.
Unfortunately, if you had a passive long investment in VIX futures since March 2004 (the earliest you could trade them) you would steadily have lost money - despite huge gains in the latter half of 2008 (and to a lesser extent in other periods).
The market is well aware that insurance-like products are useful, and so they are priced accordingly. Buying volatility is expensive.
The short vol "picking up pennies in front of a steamroller strategy" comes with the risk that you could be completely wiped out in a crisis. This happened to a lot of desks and funds practicing vol arb in 2008. But the flip side is that if you want to buy vol, you need to be able to absorb the punishing losses that can persist for years before you get to the big wins.