I study the equilibrium behavior of wealth distribution in a dynamic model of financial markets with multiple groups of rational investors who may differ in their information sets, as well as a group of irrational investors with incorrect beliefs. The wealth distribution for all investor groups exhibits a thick right tail. The right tail of the overall distribution is populated either by a rational group with an undominated information set or by the irrational group, despite earning the lowest expected return. To explain the observed degrees of wealth concentration, it is sufficient that some investor groups earn an expected excess return of 0.89% per annum – consistent with the excess returns generated by hedge funds and private equity funds for their investors. A calibration of the model matches the distribution of average returns for Norwegian households from Fagereng et al (2020).