We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

This paper extends my research applying statistical decision theory to treatment choice with sample data, using maximum … in indirect ways, the former applying classical statistical theory and the latter measuring prediction accuracy in test … samples. Neither approach is satisfactory. Statistical decision theory provides a coherent, generally applicable methodology …

We argue that comprehensive out-of-sample (OOS) evaluation using statistical decision theory (SDT) should replace the …

Can measured risk attitudes and associated structural models predict insurance demand? In an experiment (n = 1,730), we … parameterize seventeen common structural models (e.g., expected utility, cumulative prospect theory). Subjects also make twelve … various risk-attitude measures. Yet all the structural models predict insurance poorly, often less accurately than random …

those outcomes. This subjective uncertainty measure correlates positively with financial risk measures. Drawing on the …

risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance …