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I came across this sentence:

"The biggest risk you will ever take is not taking one at all."

I am unable to understand what does one at all mean in the statement context.

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    Both one (pronoun, referring back to ‘risk’) and at all (‘in any way’) have straightforward meanings that can be found in any dictionary. “The biggest risk you will ever take is not taking any risk at all”. – Janus Bahs Jacquet Jun 2 '14 at 13:39
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The words "at all" could be removed from the sentence without any real change in meaning:

The biggest risk you will ever take is not taking one.

which would mean the same thing as:

The biggest risk you will ever take is not taking any risk.

In other words, if you are too cautious all the time, that becomes a risk in and of itself.

The line you ask about reminds me of another similar quote:

The only thing we have to fear is fear itself. (Franklin D. Roosevelt)

As Janus said in a comment, the meaning of at all is idiomatic, but you need to know to look for the phrase as a whole.

at all
• (used with a negative or in a question) in any way whatsoever or to any extent or degree ⇒ "I didn't know that at all"
• even so; anyway ⇒ "I'm surprised you came at all"

http://www.collinsdictionary.com/dictionary/english/at-all

The phrase at all usually emphasizes the text that precedes it.

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