Comparative statics under uncertainty: The case of mean-variance preferences

We analyze the comparative statics of optimal decisions under uncertainty when preferences are represented by two-moment, mean-variance utility functions. We relate our findings to concepts for risk attitudes that are familiar from the expected-utility approach. In the two-parameter approach, a number of plausible comparative static effects already emerges under the assumption of decreasing absolute risk aversion. To determine comparative static effects of changes in background risks stronger concepts are needed. Risk vulnerability, temperance and standardness, appropriately transferred to the mean-variance framework, the plausible effect that risk taking will be reduced if background risks increase.