Liquidity, Leverage, and Selling Tails

• Why Ilmanen-style "simulations" of tail performance are both theoretically and empirically flawed because of 1) need to extrapolate extremes, and 2) The Niederhoffer problem.
• The birth of the Non-Naive Precautionary Principle in East Anglia, in a pub discussion with Rupert Read.

Original video: https://www.youtube.com/watch?v=TaWLcxTMwk8