We uncover a large and significant low-minus-high rank effect for commodities across two centuries. There is nothing anomalous about this anomaly, nor is it clear how it can be arbitraged away. Using nonparametric econometric methods, we demonstrate that such a rank effect is a necessary...

This paper introduces new techniques to obtain a closed-form rank-by-rank characterization of the equilibrium distribution of wealth in a model in which finitely lived households face uninsurable idiosyncratic investment risk. A central result is that the extent of inequality is determined...