Great post above above.
The more I learn about this topic, the less I expect outcomes to fit the "normal distribution" pattern. Humans are animals, we do not act rationally much of the time. Any theory (investment or otherwise) based on the notion that individuals en mass routinely employ rational and emotion-free decision-making is well .. somewhat irrational.
Often primitive and automatic response mechanisms in the brain go into action long before we are conscious of having made any decision.
Later we justify or rationalize that automatic response on a conscious level, but the actual decision was made below the level of consciousness, on a gut or instinctual level.
JM Keynes was first to refer to this as our "animal spirits". Understanding this notion won't remove the fat-tails from the distribution pattern of actual outcomes but it does help explain them. I also gives us a broader understanding the true nature of uncertainty as it relates to human behaviour.