| Article ID: | iaor20111428 |
| Volume: | 70 |
| Issue: | 2 |
| Start Page Number: | 179 |
| End Page Number: | 193 |
| Publication Date: | Feb 2011 |
| Journal: | Theory and Decision |
| Authors: | Wagener Andreas, Eichner Thomas |
| Keywords: | portfolio management |
We analyze the comparative static effects of changes in the means, the standard deviations and the covariance of asset returns in a standard portfolio selection problem when investors have mean variance preferences. Simple and intuitive characterizations in terms of the elasticity of risk aversion are provided.