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

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 maturities. We show that forward entropic risk measures converge to some constant exponentially fast. We also compare them with their classical counterparts and derive a parity result

MoreLess

Year of publication:	2017
Authors:	Chong, Wing Fung
Other Persons:	Hu, Ying (contributor) ; Liang, Gechun (contributor) ; Zariphopoulou-Souganidis, Thaleia (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Risiko \| Risk \| Risikomaß \| Risk measure \| Messung \| Measurement \| Entropie \| Entropy \| Stochastischer Prozess \| Stochastic process

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

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