When agents agree to disagree about the expected growth rate of the aggregate endowment process, we study the asset price dynamics under “Keeping up with the Joneses” (KUJ) meaning that each agent maximizes the expected life-time CRRA utility of his relative consumption to the other agent in...

This chapter surveys the boundedly rational heterogeneous agent (BRHA) models of financial markets, to the development of which the authors and several co-authors have contributed in various papers. We give particular emphasis to role of the market clearing mechanism used, the utility function...