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Using elements from the theory of ergodic backward stochastic differential equations (BSDEs), we study the behavior of forward entropic risk measures in stochastic factor models. We derive general representation results… Click to show full abstract
Using elements from the theory of ergodic backward stochastic differential equations (BSDEs), we study the behavior of forward entropic risk measures in stochastic factor models. We derive general representation results (via both BSDEs and convex duality) and examine their asymptotic behavior for risk positions of large maturities. We also compare them with their classical counterparts and provide a parity result.
Keywords:
entropic risk;
risk;
forward entropic;
ergodic bsde;
risk measures;
behavior
Journal Title: Finance and Stochastics
Year Published: 2019
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Journal Title: Finance and Stochastics
Year Published: 2019
Link to full text (if available)
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recommendations!