As other people have mentioned, it's a lot easier to try a startup when you've had a chance to save money from a $250,000 salary. Plus, you have the experience working for a big PE firm so you know you can always find another great job. I love hearing these stories, but his 'risk' wasn't really as great as someone who quits an $80,000 job with $10,000 in savings. I know that story too well :)