  We study the market selection hypothesis in complete financial markets,
populated by heterogeneous agents. We allow for a rich structure of
heterogeneity: individuals may differ in their beliefs concerning the economy,
information and learning mechanism, risk aversion, impatience and 'catching up
with Joneses' preferences. We develop new techniques for studying the long-run
behavior of such economies, based on the Strassen's functional law of iterated
logarithm. In particular, we explicitly determine an agent's survival index and
show how the latter depends on the agent's characteristics. We use these
results to study the long-run behavior of the equilibrium interest rate and the
market price of risk.
