Wealthy individuals typically hold large positions in illiquid assets. We examine this phenomenon using a dynamic model of portfolio choice in oligopolistic financial markets. At the individual level, we characterize a trade-off between rent extraction and risk management that induces under-diversification and ex-post wealth inequality. In the aggregate, wealth inequality feeds back into portfolio choice by raising market concentration, amplifying under-diversification and ensuring that even wealthy individuals remain vulnerable to negative income shocks. Asset price distortions from market concentration depend on the wealth distribution: valuations are higher than in the competitive benchmark when the wealth distribution is relatively symmetric, but tilted in favor of wealthier agents when it is asymmetric. However, market prices may understate inequality in private valuations of income streams.