Perron–Frobenius theory recovers more than you might think: The example of limited participation

François Le Grand
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François Le Grand: EM - EMLyon Business School

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Abstract: In their seminal article, Hansen and Scheinkman (2009) proved that Perron–Frobenius theory helps to recover a probability measure that can be used to price long-term claims. In this paper, we show that the recovered probability also contains information about market structure. More precisely, we provide an example in which Perron–Frobenius theory can be used to measure the degree of limited market participation.

Keywords: Perron–Frobenius; Arrow–Debreu securities; Limited participation (search for similar items in EconPapers)
Date: 2019-01-01
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Published in Ecconomics Letters, 2019, 174, 186-188 p

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02312263

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