If you have to read just one book, I'd suggest Fortunes Formula by william poundstone. Much more entertaining than Bernstein's book as well.
thanks, I'll check it out I read Against the Gods many years ago, great book, but nothing real new for those of us that spend every waking moment dealing with risk.
I reread fortunes formula over the last few days. It's the kind of book where you find new stuff every time you read it. So for example there was some stuff about Kelly with leverage I hadn't really thought about before.