中文摘要
我研究金融市场动态模型中的稳态财富分布,其中投资者的投资成熟程度各不相同。一些投资者理性地形成信念,但可获得的信息不同;另一些投资者则持有错误信念。对所有投资者类型而言,稳态财富分布都呈现厚重的上尾,其厚度取决于投资组合回报相对于总体市场的高阶矩。整体稳态财富分布的上尾由尾部最厚的群体占据。我证明,该群体要么是拥有未被支配信息集的理性群体,要么是持有错误信念的群体,尽管后者获得的预期回报最低。要解释观察到的财富集中程度,只需某些投资者群体相对于总体经济获得每年0.89%的预期超额回报即可——这与对冲基金和私募股权基金所产生的风险调整回报,以及它们在美国超高净值人群投资组合中所占的份额相一致。模型的校准结果与Fagereng等人(2020)所记录的挪威家庭平均回报分布相吻合。
Abstract
I study the stationary wealth distribution in a dynamic model of financial markets in which investors differ in their levels of investment sophistication. Some investors form beliefs rationally but have access to different information, while others hold incorrect beliefs. For all investor types, the stationary wealth distribution exhibits a thick upper tail, whose thickness depends on the higher moments of portfolio returns relative to the aggregate market. The upper tail of the overall stationary wealth distribution is populated by the group with the thickest tail. I show that this group is either a rational group with an undominated information set or the group with incorrect beliefs, despite the latter earning the lowest expected return. To explain the observed degrees of wealth concentration, it is sufficient that some investor groups earn an expected excess return of 0.89% per annum relative to the aggregate economy – consistent with the risk-adjusted returns generated by hedge funds and private equity funds and their portfolio shares among the ultra-wealthy in the United States. A calibration of the model matches the distribution of average returns for Norwegian households documented by Fagereng et al. (2020).