An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Sign Up to like & getrecommendations! Published in 2019 at "Finance and Stochastics"
DOI: 10.1007/s00780-018-0377-3
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… read more here.
Keywords: entropic risk; risk; forward entropic; ergodic bsde ... See more keywords