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gwern comments on Blind Spot: Malthusian Crunch - Less Wrong
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Under EMH is pretty hard to deliberately and consistently lose money. It's very easy to get additional risk (e.g. by not diversifying), but I don't think EMH envisions assets with negative expected return.
Mm, the way I remembered was that by not diversifying, you were taking on additional uncompensated risk; not diversifying wasn't completely neutral, expected-value wise. (Also, there's obvious ways to guarantee losing money: trade a lot. The fees will kill you.)
Yep, that's what I said -- that you can easily get additional risk by not diversifying.
And the trading fees are outside of EMH -- there are certainly plenty of ways to reliably lose money in the real world, but not in the EMH world.
I said 'uncompensated' risk.
EMH doesn't say anything about uncompensated risks.
To get to risk premium you need something like CAPM or APT which are a different kettle of fish.