Abstract
We analyze the comparative static effects of changes in the means, the standard deviations and the covariance of asset returns in a standard portfolio selection problem when investors have mean variance preferences. Simple and intuitive characterizations in terms of the elasticity of risk aversion are provided.
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Eichner, T., Wagener, A. Portfolio allocation and asset demand with mean-variance preferences. Theory Decis 70, 179–193 (2011). https://doi.org/10.1007/s11238-010-9217-4
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DOI: https://doi.org/10.1007/s11238-010-9217-4