We study the comparative statics implications of mean-variancepreferences for optimal portfolios. Specifically, we show thatall risk averse mean-variance investors raise their investmentin a risky asset in response to a change in that asset's returndistribution if and only if the change lowers...

We study the comparative statics implications of mean-variance preferences for optimal portfolios. Specifically, we show that all risk averse mean-variance investors raise their investment in a risky asset in response to a change in that asset's return distribution if and only if the change...