Mean‐Variance Preferences and Investor Behaviour
研究均值方差偏好下最优投资组合的比较静态性质，发现风险厌恶投资者只有在资产收益均值和标准差同比例下降时才会增加投资，并系统比较了期望效用与均值方差模型的含义。
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 lowers both the mean and standard deviation of the return by the same percentage. Besides being of interest in its own right, our results allow us to compare some comparative statics implications and the expected utility and mean-variance models systematically.