In this paper I study the relationship between rationality and asset prices when agents have heterogeneous and incorrect beliefs about future events. Using as a benchmark the pricing derived under rational expectations (fully rational pricing), I compare the long-run pricing performance in terms of accuracy of an economy in which agents behave according to the Subjective Generalized Kelly rule (Bottazzi et al., Economic Theory, 66(2)407–447, 2018), which is not optimal under agents’ beliefs, with the one emerging from an economy where agents maximize logarithmic preferences under the same heterogeneous and incorrect beliefs. I find that, in the long-run, the Subjective Generalized Kelly economy prices either match those attained in the log-utility maximizers economy or, on average, approximate the fully rational pricing better. Moreover, in the limit of agents having a discount factor equal to one, asset prices of the Subjective Generalized Kelly economy converge to those of the fully rational economy. Hence the fact that agents use non-optimal (heuristic) decision rules may improve the pricing performance when agents have biased and heterogeneous beliefs. This is due to the evolutionary process of wealth reallocation taking place among agents, which lets non-optimality of rules compensate for biases in beliefs.

在本文中，我研究了当代理商对未来事件有异类和错误的信念时，理性与资产价格之间的关系。以理性预期（完全理性定价）下得出的定价为基准，我比较了长期定价绩效，即经济体的准确性，在这种经济中，代理商根据主观广义凯利行为规则（Bottazzi等人，Economic Theory，66（2）407-447，2018），这在代理人的信念下并不是最优的，一种规则来自一种经济，在这种经济中，代理人在相同的异类和错误信念下最大化了对数偏好。我发现，从长远来看，主观广义凯利经济价格要么与对数效用最大化的经济体相匹配，要么平均而言更好地近似于完全理性的定价。而且，在代理商的折现系数等于1的极限内，主观广义凯利经济的资产价格收敛于完全理性经济的资产价格。因此，当代理商有偏见和异质信念时，代理商使用非最佳（启发式）决策规则的事实可能会提高定价绩效。