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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Globally evolutionarily stable portfolio rules |
| Organization Unit | |
| Authors |
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| Item Subtype | Further Contribution (e.g. review article, editorial) |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Economic Theory |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 0022-0531 |
| Volume | 140 |
| Number | 1 |
| Page Range | 197 - 228 |
| Date | 2008 |
| Abstract Text | hort-run equilibrium of supply and demand. Assets pay dividends that are partially consumed and partially reinvested. The traders use fixed-mix investment strategies (portfolio rules), distributing their wealth between assets in fixed proportions. Our main goal is to identify globally evolutionarily stable strategies, allowing an investor to “survive,” i.e., to accumulate in the long run a positive share of market wealth, regardless of the initial state of the market. It is shown that there is a unique portfolio rule with this property—an analogue of the famous Kelly rule of “betting your beliefs.” A game theoretic interpretation of this result is given. |
| Related URLs | |
| Digital Object Identifier | 10.1016/j.jet.2007.09.005 |
| Other Identification Number | merlin-id:4893 |
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