  This paper studies the equity holders' mean-variance optimal portfolio choice
problem for (non-)protected participating life insurance contracts. We derive
explicit formulas for the optimal terminal wealth and the optimal strategy in
the multi-dimensional Black-Scholes model, showing the existence of all
necessary parameters. In incomplete markets, we state Hamilton-Jacobi-Bellman
equations for the value function. Moreover, we provide a numerical analysis of
the Black-Scholes market. The equity holders on average increase their
investment into the risky asset in bad economic states and decrease their
investment over time.
