We present two new notions of evolutionary stability, the trulyevolutionarily stable state (TESS) and the generalized evolutionarilystable equilibrium (GESE). The GESE generalizes the evolutionar-ily stable equilibrium (ESE) of Joosten [1996]. An ESE attracts allnearby trajectories...

In games with strategic substitutes (GSS), convergence of the best response dynamic startingfrom the inf (or sup) of the strategy space is equivalent to global stability (convergence ofevery adaptive dynamic to the same pure strategy Nash equilibrium). Consequently, inGSS, global stability can...

We study aggregative games in which players’ strategy sets areconvex intervals of the real line and (not necessarily differentiable)payoffs depend only on a player’s own strategy and the sum of allplayers’ strategies. We give sufficient conditions on each player’s payofffunction to...

In the standard CAPM with a riskless asset we give a simple proof of existence of equilibria without assuming concavity of the investor's utility functions. Moreover, we give a uniqueness result using assumptions on the risk aversion of investors.

The paper examines questions of local asymptotic stability of randomdynamical systems. Results concerning stochastic dynamics ingeneral metric spaces, as well as in Banach spaces, are obtained. Theresults pertaining to Banach spaces are based on the linearization ofthe systems under study. The...

Scotchmer and Wooders (1987) show that efficient clubs are homogeneouswhen consumers are divisible in Berglas’s (1976) anonymouscrowding model. However, if consumers are not divisible or ifclubs have multiple facilities with economies of scope, mixed clubs areefficient. In such a model, we...

Considered here is on-line portfolio management aimed at maximizing the long-run growth of financial wealth. The portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and related methods are not available - or deemed too diffcult....

Markowitz and Sharpe won the Nobel Prize in Economics more than a decade ago for the development of Mean-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year 2002, Kahneman won the Nobel Prize in Economics for the development of Prospect Theory. Can these two apparently...

Under the assumption of normally distributed returns, we analyzewhether the Cumulative Prospect Theory of Tversky and Kahneman (1992)is consistent with the Capital Asset Pricing Model. We find that in everyfinancial market equilibrium the Security Market Line Theorem holds.However, under the...