Conventional wisdom suggests that richer individuals put more of their assets toward high risk investments, which can result in higher returns. But our research finds that wealthy people often earn a higher return even on more conservative investments. Richer individuals enjoy pure “returns to scale” to their wealth. Specifically, for given portfolio allocation, individuals who are wealthier are more likely to get higher risk-adjusted returns...
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Except the return of the 0.1 percenters was very close to the return of the broad market. Their conclusion doesn’t track with this fact.