A Type Of Multi-assets Pricing Model With Heterogeneous Beliefs

Traditional assets pricing model are assumed that investors have homogenous beliefs.In the reality such assumptions is unrealistic. Based on this assumption, it could notexplain the financial vision in market. Empirical studies also indicated that market in-vestor is heterogeneous. This article is based on assumptions of heterogeneous beliefs, weconsider the fraction of the investors with some transaction strategies is no more a con-stant in each point of time. It will vary with the time-varying. We use the time-varyingintensity of the choice, adding a risk asset on the fundamental of one risk asset model,we construct a dispersed dynamic system, then we discuss and analysis the case in whichthere are two risk assets and two agents(fundamentalists and chartist). The agents choosethe predictors according to behavior which can measure the realized profit. When the in-tensity of the choice between the di?erent predictors increased, the producing bifurcationmay cause complex ?uctuation of the asset price.The paper presents the background and discuss some numerical tools and methods forthe analysis of the nonlinear dynamical systems. Then we add the time-varying intensityof the choice, construct the model with two risk assets and two types of agents, discuss andanalysis existence of the equilibrium state and get the stability conditions when the twoasset are not relevant. We also analysis the case when the two type assets have relations.The agents choose the predictors according to behavior which can measure the realizedprofit. When the intensity of the choice between the di?erent predictors increased, theproducing bifurcation may cause complex ?uctuation of the asset price.