Serena Brianzoni, University of Macerata, Italy
Cristiana Mammana, University of Macerata, Italy
Elisabetta Michetti, University of Macerata, Italy

Abstract: In this paper we study an asset pricing model with heterogeneous beliefs, wealth dynamics and time varying proportions. We derive the resulting deterministic nonlinear dynamic system and analyze the model with adaptive beliefs and switching mechanism in order to investigate bifurcations and global dynamics and thus consider the effects on wealth distribution among different types of agents. Our study aims at confirming that heterogeneity in beliefs may lead to complexity.

Keywords: asset pricing model, heterogeneous agents, wealth dynamics, bifurcation analysis, global dynamics