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An ergodic BSDE approach to forward entropic risk measures : representation and large-maturity behavior

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An Ergodic BSDE Approach to Forward Entropic Risk Measures : Representation and Large-Maturity Behavior

Chong, Wing Fung - 2017

Using elements from the theory of ergodic backward stochastic differential equations (BSDE), we study the behavior of forward entropic risk measures. We provide their general representation results (via both BSDE and convex duality) and examine their behavior for risk positions of long...

Persistent link: https://www.econbiz.de/10012967225