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...

This paper presents and implements a procedure which examines for empirical support for the location and scale condition. The Kolmogorov-Smirnov multisample test is used to determine if the distribution functions describing the nonsystematic risk component of rate of return for portfolios of...