premium attached to the option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of … each momentum strategy's mean and variance generates an unconditional Sharpe ratio approximately double that of the static … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …

and evolutionary game theory. Its key characteristic feature is that it relies only on objectively observable market data … study is to identify an investment strategy that allows an investor to survive in the market selection process, i.e., to … strategy exists, is asymptotically unique and easily computable …

evolutionary solution concept (survival strategies), thereby linking two fundamental paradigms of game theory …