Long-run heterogeneity in an exchange economy with fixed-mix traders

摘要

We consider an exchange economy where agents have heterogeneous beliefs and assets are long-lived, and investigate the coupled dynamics of asset prices and agents' wealth. We assume that agents hold fixed-mix portfolios and invest on each asset proportionally to its expected dividends. We prove the existence and uniqueness of a sequence of arbitrage-free market equilibrium prices and provide sufficient conditions for an agent, or a group of agents, to survive or dominate. Our main finding is that long-run coexistence of agents with heterogeneous beliefs, leading to asset prices endogenous fluctuations, is a generic outcome of the market selection process.