Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/148164 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
LEM Working Paper Series No. 2015/29
Verlag: 
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM), Pisa
Zusammenfassung: 
We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main finding is that long-run coexistence of heterogeneous agents is a generic outcome of the market dynamics. We provide sufficient conditions for the latter, as well as sufficient conditions for the relative wealth of any given agent converging to zero or to one. Since we use a direct approach that combines the inter-temporal dynamics of wealth and prices via agents' portfolio rules, we can characterize when long-run heterogeneity occurs for both complete and incomplete asset markets.
Schlagwörter: 
Market Selection Hypothesis
Heterogeneous Beliefs
Evolutionary Finance
Incomplete Markets
Asset Pricing
Generalized Kelly rule
JEL: 
C60
D52
D53
G11
G12
Dokumentart: 
Working Paper

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