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Damit laufen wir immer Gefahr, die schlechtere Variante gewählt zu haben.

I have 2 questions about this sentence please:

  1. Why was the construction zu + infinitive (haben) used here? Is this a sort of passive form of Speech?
  2. Da + preposition (mit): does this preposition come with the verb laufen?
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zu + Infinitiv

The construction is called Infinitivsatz. If you use it, you need zu + Infinitiv:

Damit laufen wir immer Gefahr, die schlechtere Variante zu wählen.
We always run the risk of choosing the worse option.

This example was in Präsens (roughly equivalent to present tense). You need an auxiliary verb (haben) to put the second part of the sentence into Perfect (roughly equivalent to past tense) (note, that the first part still is in Präsens):

Damit laufen wir immer Gefahr, die schlechtere Variante gewählt zu haben.
We always run the risk of having choosen the worse option.

But you also have the option, to replace the construction with Infinitivsatz by a dass-Satz (mit »dass« eingeleiteter Nebensatz):

Präsens:

Damit laufen wir immer Gefahr, dass wir die schlechtere Variante wählen.
We always run the risk that we choose the worse option.

Perfekt:

Damit laufen wir immer Gefahr, dass wir die schlechtere Variante gewählt haben.
We always run the risk that we have chosen the worse option.


damit

This literally just means "with it" or "with this":

With this we always run the risk of having choosen the worse option.

Damit refers to something (probably a decision) that was mentioned before this sentence. I didn't add with this to my translations above, because I think it is not usual in English to start a sentence with this phrase. But in German this is usual (of course only if you really refer to something).

You can also build the sentence without it (just be sure, that the verb is always at position 2, so move something on position 1 instead, best choice is the subject):

Wir laufen immer Gefahr, die schlechtere Variante gewählt zu haben.
We always run the risk of having choosen the worse option.

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