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An ergodic BSDE approach to forward entropic risk measures : representation and large-maturity behavior
Chong, Wing Fung; Hu, Ying; Liang, Gechun; … - In: Finance and stochastics 23 (2019) 1, pp. 239-273
Persistent link: https://www.econbiz.de/10012023715
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Dual utilities on risk aggregation under dependence uncertainty
Wang, Ruodu; Xu, Zuo Quan; Zhou, Xun Yu - In: Finance and stochastics 23 (2019) 4, pp. 1025-1048
Persistent link: https://www.econbiz.de/10012114687
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Robust utility maximisation with intractable claims
Li, Yunhong; Xu, Zuo Quan; Zhou, Xun Yu - In: Finance and stochastics 27 (2023) 4, pp. 985-1015
Persistent link: https://www.econbiz.de/10014426411
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Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
Strub, Moris S.; Zhou, Xun Yu - In: Finance and stochastics 25 (2021) 2, pp. 331-358
Persistent link: https://www.econbiz.de/10012499731