  We study the extent to which the cosmological fine-tuning problem - why the
relic density of neutralino cold dark matter particles $\chi$ is similar to
that of baryons - is related to the fine-tuning aspect of the gauge hierarchy
problem - how one arranges that M_W << M_P without unnatural choices of MSSM
parameters. Working in the minimal supergravity framework with universal soft
supersymmetry-breaking parameters as inputs, we find that the hierarchical fine
tuning is minimized for \Omega_{\chi} h^2 \sim 0.1. Conversely, imposing
\Omega_{\chi} h^2 < 1 does not require small hierarchical fine tuning, but the
exceptions to this rule are rather special, with parameters chosen such that
m_{\chi}\sim M_Z/2 or M_h/2, or else m_{\chi} \simgt m_t. In the first two
cases, neutralino annihilation receives a large contribution from a
direct-channel pole, whereas in the third case it is enhanced by the large top
Yukawa coupling.
