My philosophy is to not include the huge upside tail events that are of minuscule probability, but do include the huge downside events of minuscule probability.

If you include miniscule probability but huge payoff upside events, you can chase some ridiculous things. My favorite is when the powerball jackpots is over $300MM or something like that. Even after taxes (with lump sum payment) its positive expected value and pays off in days if you win. That would suggest you should take all your money and buy lottery tickets.