Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229126
Authors: 
Manganelli, Simone
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2512
Abstract: 
A decision maker tests whether the gradient of the loss function evaluated at a judgmental decision is zero. If the test does not reject, the action is the judgmental decision. If the test rejects, the action sets the gradient equal to the boundary of the rejection region. This statistical decision rule is admissible and conditions on the sample realization. The confidence level reflects the decision maker's aversion to statistical uncertainty. The decision rule is applied to a problem of asset allocation.
Subjects: 
Statistical Decision Theory
Hypothesis Testing
Confidence Intervals
Conditional Inference
JEL: 
C1
C11
C12
C13
D81
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4512-7
Document Type: 
Working Paper

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