Taking into account the nature of your employment when constructing your investment portfolio makes sense. Stock brokers may not want to expose their portfolios to too much stock market risk because their wages depend on the stock market performing well. However, paying too much attention to risk at the expense of expected returns can lead to problems.
In his book, Your Money Milestones, Moshe Milevsky quotes a study saying that MBA students interested in a Wall Street career should consider shorting the stock market upon entering school.
This is a good example of focusing on risk at the expense of expected returns. It is definitely true that these MBA students are exposed to stock market risk. If the markets perform poorly while they study, their job prospects upon graduating may be grim. Shorting the stock market would yield profits in this case and reduce their overall financial risk.
However, stocks have a built-in tendency to go up. We may disagree on how large the risk premium is, but it does exist. Another point is that those who short stocks are charged a form of interest on the borrowed stocks. This interest would build up over the course of a few years.
If the stock market remained exactly flat while the MBA student studied, he or she would lose money on the short position and would probably run into a tough job market.
It is dangerous to focus on expected returns and ignore risk. But it is also dangerous to focus entirely on risk and ignore expected returns. Constructing a sensible portfolio requires taking into account both factors.