•  43
    Elementary proof that mean–variance implies quadratic utility
    with D. V. Lindley
    Theory and Decision 70 (2): 149-155. 2011.
    An extensive literature overlapping economics, statistical decision theory and finance, contrasts expected utility [EU] with the more recent framework of mean–variance (MV). A basic proposition is that MV follows from EU under the assumption of quadratic utility. A less recognized proposition, first raised by Markowitz, is that MV is fully justified under EU, if and only if utility is quadratic. The existing proof of this proposition relies on an assumption from EU, described here as “Buridan’s …Read more
  •  43
    The Value of a Probability Forecast from Portfolio Theory
    Theory and Decision 63 (2): 153-203. 2007.
    A probability forecast scored ex post using a probability scoring rule (e.g. Brier) is analogous to a risky financial security. With only superficial adaptation, the same economic logic by which securities are valued ex ante – in particular, portfolio theory and the capital asset pricing model (CAPM) – applies to the valuation of probability forecasts. Each available forecast of a given event is valued relative to each other and to the “market” (all available forecasts). A forecast is seen to be…Read more
  •  32
    Bayesian inference given data?significant at??: Tests of point hypotheses
    with D. V. Lindley
    Theory and Decision 38 (1): 51-60. 1995.