Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneousand Long-Lived Funds

We perform a detailed asymptotic analysis of the equilibrium behavior of the assetprices, wealth size and portfolio weights in complete markets equilibria, with long-livedfunds. In equilibrium, the fund with the (closest to) log preference will dominate theother funds in size, in the long-run, with probability one. On the other hand, two fundson the opposite sides of the log preference will never dominate each other in expectedsize. In the very long run, the price behavior of the risky asset will be determinedsolely by the fund closest to the log preference. However, the price drift and volatilitystill are affected by higher risk aversions, and the optimal portfolio weights contain ahedging component, positive (negative) for the risk aversions higher (lower) than log.[...]