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• W2076564141 abstract "The paper examines a dynamic model of a financial market with endogenous asset prices determined by short 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 (1956) rule of betting one's beliefs. A game theoretic interpretation of this result is given." @default.
• W2076564141 created "2016-06-24" @default.
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• W2076564141 date "2007-01-01" @default.
• W2076564141 modified "2023-09-23" @default.
• W2076564141 title "Globally Evolutionarily Stable Portfolio Rules" @default.
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• W2076564141 doi "https://doi.org/10.2139/ssrn.804346" @default.
• W2076564141 hasPublicationYear "2007" @default.
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