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...

Within the framework of expected utility theory with rank-dependent probabilities, the authors present a hypothesis concerning the shape of the probability transformation function. This hypothesis is consistent with the "preference reversals" phenomenon. In particular, it is consistent with the...