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 takes an additional step toward analyzing the demand for insurance in the context of a portfolio model. An investor is endowed with a portfolio containing a risky and riskless asset that can be augmented by purchasing insurance. Here, insurance is paid for by reducing the quantity of...