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

Wing Fung Chong; Ying Hu; Gechun Liang; Thaleia Zariphopoulou

doi:10.1007/s00780-018-0377-3

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

Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou

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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.

Original language	English
Pages (from-to)	239–273
Number of pages	35
Journal	Finance and Stochastics
Volume	23
Issue number	1
Early online date	12 Dec 2018
DOIs	https://doi.org/10.1007/s00780-018-0377-3
Publication status	Published - 15 Jan 2019

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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.",

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AU - Zariphopoulou, Thaleia

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AB - 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.

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DO - 10.1007/s00780-018-0377-3

M3 - Article

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JO - Finance and Stochastics

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

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