Heterogeneity, Selection, and Wealth Dynamics

The market selection hypothesis states that, among expected utility maximizers, competitive markets select for agents with correct beliefs. In some economies this hypothesis holds, whereas in others it fails. It holds in complete-markets economies with a common discount factor and bounded aggregate consumption. It can fail when markets are incomplete, when consumption grows too quickly, or when discount factors and beliefs are correlated. These insights have implications for the general equilibrium modeling of asset prices and macroeconomic phenomena.

[1]  Giulio Bottazzi,et al.  Selection in asset markets: the good, the bad, and the unknown , 2011 .

[2]  Collateral Shortages, Asset Price and Investment Volatility with Heterogeneous Beliefs , 2010 .

[3]  Dan Cao,et al.  COLLATERAL SHORTAGES, ASSET PRICE AND INVESTMENT VOLATILITY WITH HETEROGENEOUS BELIEFS , 2010 .

[4]  David Easley,et al.  The market organism: Long-run survival in markets with heterogeneous traders , 2009 .

[5]  Jonathan Heathcote,et al.  Quantitative Macroeconomics with Heterogeneous Households , 2009 .

[6]  Timothy Cogley,et al.  Diverse Beliefs, Survival and the Market Price of Risk , 2009 .

[7]  M. Mathews,et al.  An Interview with , 2009 .

[8]  L. Blume,et al.  Market Selection and Asset Pricing , 2009 .

[9]  Scott Condie,et al.  Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity , 2008 .

[10]  Hongjun Yan,et al.  Natural Selection in Financial Markets: Does it Work? , 2008, Manag. Sci..

[11]  T. Sargent.  Evolution and Intelligent Design , 2008 .

[12]  Edmund A. Mennis.  The Wisdom of Crowds: Why the Many Are Smarter than the Few and How Collective Wisdom Shapes Business, Economies, Societies, and Nations , 2006 .

[13]  C. Hommes.  Heterogeneous Agent Models in Economics and Finance , 2005 .

[14]  熊谷 ユリヤ,et al.  James Surowiecki, 『The Wisdom of Crowds: Why the Many Are Smarter Than the Few and How Collective Wisdom Shapes Business, Economies, Societies and Nations』, Random House, 5,2004, $24.95 , 2005 .

[15]  G. Evans,et al.  AN INTERVIEW WITH THOMAS J. SARGENT , 2005, Macroeconomic Dynamics.

[16]  Peter C. B. Phillips,et al.  EMPIRICAL LIMITS FOR TIME SERIES ECONOMETRIC MODELS , 2003 .

[17]  P. Phillips,et al.  EMPIRICAL LIMITS FOR TIME SERIES , 2003 .

[18]  Lawrence E. Blume,et al.  Optimality and Natural Selection in Markets , 2002, J. Econ. Theory.

[19]  T. Bewley.  Knightian decision theory. Part I , 2002 .

[20]  Rabah Amir,et al.  Market Selection and Survival of Investment Strategies , 2001 .

[21]  L. Blume,et al.  If You're so Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets , 2001 .

[22]  J. B. Heaton,et al.  Competing Theories of Financial Anomalies , 2001 .

[23]  Alvaro Sandroni.  Do markets favor agents able to make accurate predictions , 2000 .

[24]  J. Campbell.  Asset Pricing at the Millennium , 2000, The Journal of Finance.

[25]  T. Sargent,et al.  Recursive Macroeconomic Theory , 2000 .

[26]  Per Krusell,et al.  Income and Wealth Heterogeneity in the Macroeconomy , 1998, Journal of Political Economy.

[27]  E. Sent.  The Evolving Rationality of Rational Expectations: An Interview with Thomas Sargent , 1998 .

[28]  John Nachbar.  Prediction, optimization, and learning in repeated games , 1997 .

[29]  D. Pilling.  Liar's poker , 1995 .

[30]  E. Kalai,et al.  Rational Learning Leads to Nash Equilibrium , 1993 .

[31]  David Easley,et al.  Economic natural selection , 1993 .

[32]  L. Blume,et al.  Evolution and market behavior , 1992 .

[33]  Robert E. Lucas,et al.  On Efficiency and Distribution , 1992 .

[34]  B. Thomas.  Alfred Marshall on economic biology , 1991 .

[35]  L. Summers,et al.  Noise Trader Risk in Financial Markets , 1990, Journal of Political Economy.

[36]  Andrew R. Barron,et al.  Information-theoretic asymptotics of Bayes methods , 1990, IEEE Trans. Inf. Theory.

[37]  D. Schmeidler.  Subjective Probability and Expected Utility without Additivity , 1989 .

[38]  M. Lewis.  Liar's Poker , 1989 .

[39]  I. Gilboa,et al.  Maxmin Expected Utility with Non-Unique Prior , 1989 .

[40]  L. Summers,et al.  The Survival of Noise Traders in Financial Markets , 1988 .

[41]  J. Rissanen.  Stochastic Complexity and Modeling , 1986 .

[42]  L. Blume,et al.  Learning to be rational , 1982 .

[43]  M. Bray.  Learning, estimation, and the stability of rational expectations , 1982 .

[44]  P. Samuelson.  Why we should not make mean log of wealth big though years to act are long , 1979 .

[45]  R. Lucas.  ASSET PRICES IN AN EXCHANGE ECONOMY , 1978 .

[46]  David V. Pritchett.  Econometric policy evaluation: A critique , 1976 .

[47]  T. Sargent.  A Note on the 'Accelerationist' Controversy , 1971 .

[48]  Bezalel Peleg,et al.  MARKETS WITH COUNTABLY MANY COMMODITIES. , 1970 .

[49]  E. Phelps.  Microeconomic Foundations of Employment and Inflation Theory , 1970 .

[50]  E. Thorp.  OPTIMAL GAMBLING SYSTEMS FOR FAVORABLE GAMES , 1969 .

[51]  C. Granger,et al.  The Random Character of Stock Market Prices. , 1965 .

[52]  E. Fama.  The Behavior of Stock-Market Prices , 1965 .

[53]  D. Freedman.  On the Asymptotic Behavior of Bayes' Estimates in the Discrete Case , 1963 .

[54]  L. Breiman.  Optimal Gambling Systems for Favorable Games , 1962 .

[55]  D. Ellsberg.  Decision, probability, and utility: Risk, ambiguity, and the Savage axioms , 1961 .

[56]  T. Koopmans.  Three Essays on the State of Economic Science , 1958 .

[57]  John L. Kelly,et al.  A new interpretation of information rate , 1956, IRE Trans. Inf. Theory.

[58]  M. Friedman,et al.  Essays in Positive Economics , 1954 .

[59]  L. Robbins,et al.  An Essay on the Nature and Significance of Economic Science. , 1934 .

[60]  J. Proudfoot,et al.  Noise , 1931, The Indian medical gazette.

[61]  Edward C. Prescott,et al.  " Rational " Expectations , the Optimal Monetary Instrument , and the Optimal Money Supply Rule , 2022 .