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We study the market selection hypothesis in complete financial markets,populated by heterogeneous agents. We allow for a rich structure ofheterogeneity: individuals may differ in their beliefs concerning the economy,information and learning mechanism, risk aversion, impatience and 'catching upwith Joneses' preferences. We develop new techniques for studying the long-runbehavior of such economies, based on the Strassen's functional law of iteratedlogarithm. In particular, we explicitly determine an agent's survival index andshow how the latter depends on the agent's characteristics. We use theseresults to study the long-run behavior of the equilibrium interest rate and themarket price of risk.

Market selection with learning and catching up with the Joneses