In a recent contribution, Gallmeyer and Holli eld (2008) propose a model with heterogeneous beliefs and short sale constraints. They are able to show some e¤ects of heterogeneous beliefs and of short sales constraints on equilibrium volatility at a xed point in time through extensive simulations. However, their constraints are imposed exogenously, while the rich dynamics obtained in this paper come from the endogenous solvency constraints and binding regimes which arise naturally from limited commitment
