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• W2949209637 abstract "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." @default.
• W2949209637 created "2019-06-27" @default.
• W2949209637 creator A5040645589 @default.
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• W2949209637 date "2016-07-08" @default.
• W2949209637 modified "2023-10-17" @default.
• W2949209637 title "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior" @default.
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• W2949209637 hasPublicationYear "2016" @default.
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