Portfolio allocation and asset demand with mean-variance preferences

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Theory and Decision 70 (2):179-193 (2011)
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Abstract

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

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10.1007/s11238-010-9217-4

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