An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior∗
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چکیده
Using elements from the theory of ergodic backward stochastic differential equations, we study the behavior of forward entropic risk measures. We provide a general represention result and examine their behavior for risk positions of large maturities. We also compare them with their classical counterparts and derive a parity result.
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تاریخ انتشار 2016