  A decision maker starts from a judgmental decision and moves to the closest
boundary of the confidence interval. This statistical decision rule is
admissible and does not perform worse than the judgmental decision with a
probability equal to the confidence level, which is interpreted as a
coefficient of statistical risk aversion. The confidence level is related to
the decision maker's aversion to uncertainty and can be elicited with
laboratory experiments using urns a la Ellsberg. The decision rule is applied
to a problem of asset allocation for an investor whose judgmental decision is
to keep all her wealth in cash.
