IDEAS home Printed from https://ideas.repec.org/p/cuf/wpaper/758.html
   My bibliography  Save this paper

Wealth Concentration and Pareto Tails in Stochastic Mean Field Economies

Author

Listed:
  • Heng-fu Zou

Abstract

This paper develops a continuous-time mean field game model of capital accumulation with heterogeneous agents facing idiosyncratic stochastic productivity. Agents optimize infinite-horizon consumption under linear production and quadratic utility. The model yields a coupled Hamilton-Jacobi-Bellman and Fokker-Planck system, whose stationary solution ex hibits a Pareto-tailed wealth distribution. We derive the Pareto exponent analytically and show it depends on productivity and volatility. Numerical simulations confirm that realistic parameter values generate Gini coeffcients exceeding 0.7, consistent with empirical inequality. We evaluate the effectiveness of wealth taxation, consumption subsidies, and productivity equalization, finding these policies have limited long-run impact. Inequal ity emerges as a structural property of decentralized optimization under uncertainty, offering a micro-founded explanation for persistent wealth Concentration in capitalist economies.

Suggested Citation

  • Heng-fu Zou, 2025. "Wealth Concentration and Pareto Tails in Stochastic Mean Field Economies," CEMA Working Papers 758, China Economics and Management Academy, Central University of Finance and Economics.
    • Handle: RePEc:cuf:wpaper:758
    as

    Download full text from publisher

    File URL: https://down.aefweb.net/WorkingPapers/w758.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cuf:wpaper:758. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Qiang Gao (email available below). General contact details of provider: https://edirc.repec.org/data/emcufcn.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.