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.
|Number of pages||35|
|Journal||Finance and Stochastics|
|Early online date||12 Dec 2018|
|Publication status||Published - 15 Jan 2019|