Module VIII — Robust Sizing and Capital Allocation

Status: outline. Lecture body not authored. Phase: 6 SIZING

How much can be traded without turning a carry opportunity into a survival problem.

L1 Deterministic Stress Floor
L2 EVT Tail Bound
L3 Monte Carlo / T_SO
L4 Historical Replay Gate
        ↓
q_max = minimum supported size

K(b) ≥ max(K_opening, K_survival)

Unique process — Survival-based sizing

Contents (curriculum): q_max; stress direction; X*_u; domains N1–N4; historical stress; MAE; EVT; Monte Carlo; first-passage simulation; layered sizing L1–L4; opening capital; survival capital; reserve; K(b).

Special case: mark-to-market margin mode, and why a closed form of X* stops being universal.