The comparative statics of the optimal portfolios across individuals is
carried out for a continuous-time complete market model, where the risky assets
price process follows a joint geometric Brownian motion with time-dependent and
deterministic coefficients. It turns out that the indirect utility functions
inherit the order of risk aversion (in the Arrow-Pratt sense) from the von
Neumann-Morgenstern utility functions, and therefore, a more risk-averse agent
would invest less wealth (in absolute value) in the risky assets.