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| Author: | Ormiston, M. B. Schlee, E. E. |
| Title: | Mean-variance preferences and investor behaviour |
| Journal: | Economic Journal
2001 : OCT, VOL. 111:474, p. 849-861 |
| Index terms: | INVESTORS PORTFOLIO INVESTMENT RISK AVERSION |
| Language: | eng |
| Abstract: | The authors study the comparative statics implications of mean-variance preferences for optimal portfolios. Specifically, they 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 lowers both the mean and standard deviation of the return by the same percentage. |
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