We analyze the portfolio choice problem of investors who maximize rank dependent utility in a single-period complete market. We propose a new notion of less risk taking: choosing optimal terminal wealth that pays o more in bad states and less in good states of the economy. We prove that investors with a less risk averse preference relation always choose more risky terminal wealth, while receiving a risk premium in return. Such general comparative static results do not hold for portfolio weights, which we demonstrate with a counter-example in a continuous-time market.