A Statistical Model of Inequality

@article{Fernholz2016ASM,
  title={A Statistical Model of Inequality},
  author={Ricardo T. Fernholz},
  journal={Household Finance eJournal},
  year={2016}
}
  • Ricardo T. Fernholz
  • Published 2016
  • Economics
  • Household Finance eJournal
  • This paper develops a nonparametric statistical model of wealth distribution that imposes little structure on the fluctuations of household wealth. In this setting, we use new techniques to obtain a closed-form household-by-household characterization of the stable distribution of wealth and show that this distribution is shaped entirely by two factors - the reversion rates (a measure of cross-sectional mean reversion) and idiosyncratic volatilities of wealth across different ranked households… CONTINUE READING
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