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 (US) |
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Pages (from-to) | 239-273 |
Number of pages | 35 |
Journal | Finance and Stochastics |
Volume | 23 |
Issue number | 1 |
DOIs | |
State | Published - Jan 15 2019 |
Keywords
- Convex duality representation
- Ergodic BSDE
- Forward entropic risk measures
- Large-maturity behavior
- Stochastic factor models
ASJC Scopus subject areas
- Statistics and Probability
- Finance
- Statistics, Probability and Uncertainty