Why does this works?
I have recommended some reading in my "Where to Start From" post that gives a theoretical background of the Game. Here are a couple of highlights.
There are a couple of theories present today, but there are two aspects that shape us to be what we are today. Genes and environment (experience). .

Evolutionary theory
Let's talk about the genes first. Genes are a product of our heritage and evolution that has helped us to survive over millions of years. And our goal, from genes' point of view is to survive long enough to send them to new generation. As has been with each and every our ancestor (or we wouldn't be here today). Only problem with genes is that it takes more than a single lifespan of a generation for them to change. It takes a much, much longer. Thousands of years. Genes "learn" via the process of natural (sexual) selection (survival of the fittest). OK, so, what does this all has to do with the Game?

Our genes are not prepared for living in the world we are living today.

I have already written about our genes' heritage, their inadequacy for todays world.

But, we have what we have. By understanding the background, we can adopt.

Women seek in men what they lack and men seek in women what they lack. Women are the gatekeepers of sex and replication. This is the value we, men, seek. But evolution has played a nice trick on them. Their initial investment is much higher than ours. To clarify this I will show a couple of examples. First example is the quantity and size of reproductive cells - eggs and sperm. Women produces one egg each month. Men produce millions sperm cells each day. Also, from size point of view (e.g. investment), women are again at disadvantage. Because of this higher initial investment, women have to be choosy about their partners. Men don't have to. This is especially pronounced with homosexual couples. Gay couples are very promiscuous and approach to sex very early in their relationship. They also tend to change partners relatively often (e.g. bath houses). Lesbians on the other hand take a long, long time (months) to know their partner before becoming intimate (which is illogical since they can't get pregnant).

At this point, you must be asking what women want. They require safety which they lack. Men are better at psychical activities (in general). In a Savannah environment (for which our genes were prepared over a course of millions of years) men used to hunt and provide, women used take care of the household. Again, this can be seen at usual stereotypical man and women activities - men are better at e.g. driving (visual perception in the distance), women are better at taking care of others (attention to details). Since women are looking for safety, they are screening us during the attraction phase of the Game. (Unconsciously) women are testing us if we can protect them from all dangers in the world. This is why certain characteristics attract women. Same applies to men who are attracted to outer beauty, screening for good health which is associated with (e.g. certain hip to waist ratio).

OK, what does humor, for instance, have to do with safety? One would expect that big muscles are enough to provide safety, right?
This is true to a point. Women are attracted to physical attributes, but to an extent one would expect. They are attracted to our brains, meaning intellect. Confused?
Let me introduce you to a bird. A bird where male and female are very different animals regarding looks. Female are grey and plain, while male are beautiful with lots of colors (mostly blue and green) and giant, long tail. Guessed which bird I am talking about? Yes, this is the peacock.
So, what is the use of peacocks tail? To "show off" and seduce peahen, you say. Why does it work? Yes, it is beautiful, but there must be something else? Is there any other use for this, humongous tail? Hardly. Even, it is a penalty. Because, the longer the tail, animal is less manoeuvrable and easily to be seen and caught by a predator. So, what does it mean if there is a peacock with a large tail still alive? It means he was able to survive despite his large, penalizing tail. Gentlemen (and ladies), I present you the sexual ornament. Each male animal has one. It is characterized as a part of the body which puts an individual in danger (reducing survivability) but promotes sexual encounters (increasing reproducibility). There are many examples in nature, and it is usually some sort of ritualistic behaviour and/or body part.
What is our sexual ornament? It is our brains. Studies have shown that there is no explanation, from pure survival point of view, for the amount of resources our brains need (waste) compared to the rest of our body. There must be something else. And that is reproduction. Our intellect, our ability to outsmart our environment and our competitors in order to gain sexual services is the reason women are screening for leadership or for humor. And when talking about rituals that reduce survivability and increase reproducibility, think about how teenagers suddenly start to behave differently and how they they change their behaviour again after they exit their teenage years.

Environmental theory
Now that we understand how our genes influence our behaviour, let us look how our environment, our experience and how we were raised influences us today.
Compared to genes, an environment changes a lot faster. Within a generation or two there are new customs and social norms. For example, I used to play outside in a sandbox as a kid, my younger brother is hooked up to a PC whole day long (and there is a decade separating my and his generation).
Some of us were raised by both parents, some have not. Some were raised by their mothers only (or mostly). Mothers know only what women think they want (a nice guy). And those values have raised their sons by. I don't blame them, they didn't know better. Similar happens if a father was a nice (beta) guy (which usually is). Some were raised in tight religious environment where "being nice and polite" is encouraged no matter the consequences (but you will always have the moral victory, right?).
Other part is what we have picked up while growing up. Those initial experiences. Let's say we have two young boys (B1 & B2). They don't have any experience with girls and are just starting. B1 and B2 were raised similarly and have similar backgrounds and experiences. For the purpose of this discussion, they can be considered tabula rasa. B1 and B2 approach two girls. B1, by pure chance of luck manages to attract a girl. His confidence grows. B2 is not that lucky and fails. His confidence decreases. B1, encouraged by his encounter, and some experience he has gathered previously, tries again. He is more likely to succeed since his attitude (confidence) and experience are attractive. On the other hand we have B2 who is not so confidant and doesn't have B1's experience. He is more likely to fail. Fast Forwarding the time, using same (I agree pretty simplistic) principle we have two different guys, one who is successful with women and another one who is not. It is rather shocking how, a couple of simple experiences early in our lives influences the rest.

So, which theory applies?
Simply put, both. We can't change our genes, but learning about them, we can be aware of their influence and correct our behavior in order to get better experience.

The Game is a life changing concept. You have to become a better man in order to attract women.

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What do you think? Do you want certain topic elaborated more? Write in the comments.

Oznake: game theory, evolution, environment