Turnover activity in wealth portfolios
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 â€“ 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.
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