 Turnover Activity in Wealth PortfoliosMishael Milaković and Carolina Castaldi No 120, Computing in Economics and Finance 2004 from Society for Computational Economics Abstract: We examine several named subsets of the wealthiest individuals in the US and the UK that are compiled by Forbes Magazine and Sunday Times. The data support conventional wisdom of a wealth distribution with power law-distributed right tail, and they allow us to calibrate a statistical equilibrium model of wealth distribution. Such a model is not only able to account for the observed power law tail of wealth distribution, but is also consistent with the asymmetric laplacian distribution of portfolio returns that we observe in both our samples. In addition, with information on the distribution of portfolio returns that we construct from the subsets, the model provides an indicator for how often changes in the composition of the wealthiest portfolios occur – an indicator we call turnover activity. Finally, we also calculate a simple mobility measure from the subsets and look at trends in equality, mobility and turnover activity. Keywords: statistical equilibrium; wealth distribution; turnover activity; power law; equality; mobility (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf4:120 Access Statistics for this paper More papers in Computing in Economics and Finance 2004 from Society for Computational Economics Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.