I study the stationary wealth distribution in a dynamic model of financial markets in which investors differ in their levels of investment sophistication. Some investors form beliefs rationally but have access to different information, while others hold incorrect beliefs. For all investor types, the stationary wealth distribution exhibits a thick upper tail, whose thickness depends on the higher moments of portfolio returns relative to the aggregate market. The upper tail of the overall stationary wealth distribution is populated by the group with the thickest tail. I show that this group is either a rational group with an undominated information set or the group with incorrect beliefs, despite the latter 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 relative to the aggregate economy — consistent with the risk-adjusted returns generated by hedge funds and private equity funds and their portfolio shares among the ultra-wealthy in the United States. A calibration of the model matches the distribution of average returns for Norwegian households documented by  Fagereng et al. (2020).