Investor risk is a complicated concept in practice and is not well captured by measures of volatility as is well understood by uncertainty theory. Rather than asking statisticians to attempt to measure risk, it may be better to listen to decision theorists, but their suggestions are not very practical. Diversification is clearly helpful in reducing risk but the risk level of one portfolio cannot be measured without knowing the risks of other major portfolios. A meta-analysis can be used to compare alternative volatility measures in terms of their forecasting utility. Copyright © 2002 John Wiley & Sons, Ltd.