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

TitleAn ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Authors
Chong, Wing FungHu, YingLiang, GechunZariphopoulou, Thaleia
KeywordsConvex duality representation
Ergodic BSDE
Forward entropic risk measures
Large-maturity behavior
Stochastic factor models
Issue Date2019
Citation
Finance and Stochastics, 2019, v. 23, n. 1, p. 239-273 How to Cite?
DOI: http://dx.doi.org/10.1007/s00780-018-0377-3
AbstractUsing 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.
Persistent Identifierhttp://hdl.handle.net/10722/363306
ISSN
0949-2984
2023 Impact Factor: 1.1
2023 SCImago Journal Rankings: 0.922

 

DC FieldValueLanguage
dc.contributor.authorChong, Wing Fung-
dc.contributor.authorHu, Ying-
dc.contributor.authorLiang, Gechun-
dc.contributor.authorZariphopoulou, Thaleia-
dc.date.accessioned2025-10-10T07:45:56Z-
dc.date.available2025-10-10T07:45:56Z-
dc.date.issued2019-
dc.identifier.citationFinance and Stochastics, 2019, v. 23, n. 1, p. 239-273-
dc.identifier.issn0949-2984-
dc.identifier.urihttp://hdl.handle.net/10722/363306-
dc.description.abstractUsing 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.-
dc.languageeng-
dc.relation.ispartofFinance and Stochastics-
dc.subjectConvex duality representation-
dc.subjectErgodic BSDE-
dc.subjectForward entropic risk measures-
dc.subjectLarge-maturity behavior-
dc.subjectStochastic factor models-
dc.titleAn ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s00780-018-0377-3-
dc.identifier.scopuseid_2-s2.0-85058395040-
dc.identifier.volume23-
dc.identifier.issue1-
dc.identifier.spage239-
dc.identifier.epage273-

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