A prominent feature of the literature regarding the economics of energy conservation is the debate over the existence and nature of the so-called efficiency gap, A frequent subject of debate is whether consumers apply a reasonable discount rate when evaluating the future benefits of energy efficiency measures, A key aspect of the discounting debate is the manner in which consumer attitudes toward risk are accounted for when discounting, This paper suggests that an appropriate approach to incorporating risk into the evaluation of energy efficiency projects would yield higher net benefits to such projects than standard evaluation techniques, We argue that analysing the purchase of fuel-saving capital as though it were a standard investment in a physical asset obscures an important feature of the decision, Rather than deciding whether or not to invest in an asset with an uncertain future benefit stream, the consumer is actually choosing between two future cost streams, each of which is uncertain, This seemingly minor change in perspective has important implications for how the risk associated with fuel-saving capital should be brought into the discounting process, An example based on lighting technologies is used to illustrate the principles discussed.