I reconstruct the historical performance of individual portfolios owned by Parisian investors during the French Belle-Epoque, which was characterized by a massive concentration of wealth. Using the value of inherited bequests as a proxy for ex ante wealth, I show that wealthier investors not only exhibited greater betas and thus benefited from the bull market, but also captured positive alphas, which translated into greater Sharpe ratios. Their performance was enhanced by diversification tilted toward equity and foreign assets. I identify heterogeneity in returns as a significant driver of the rise of wealth inequalities during the Belle-Epoque.

中文翻译：

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投资组合的美好时代？回报、风险和多元化与 1912 年巴黎财富分配有何关联


我重建了巴黎投资者在法国美好时代期间拥有的个人投资组合的历史表现，其特点是财富的大规模集中。使用继承遗赠的价值作为事前财富的代表，我表明，较富有的投资者不仅表现出更高的贝塔系数，从而从牛市中受益，而且还获得了正的阿尔法系数，这转化为更高的夏普比率。向股票和外国资产倾斜的多元化增强了他们的业绩。我认为回报的异质性是美好时代财富不平等加剧的重要驱动因素。