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John_Maxwell_IV comments on Mathematicians and the Prevention of Recessions - Less Wrong
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If risk/reward profiles that bleed money most of the time but occasionally make it big look inherently less attractive to investors, should we expect those strategies to be underplayed relative to their expected value?
Probably, but it doesn't need to be a pure strategy. A normal portfolio hedged with a bit of crash insurance in the form of deep-OTM puts can be a sensible play in ordinary times. I don't know how many people actually do that, though - judging by the market size, not many.