An ergodic BSDE approach to entropic risk measure and its large time behavior

Abstract : This paper shows that the long-time behavior of the entropic risk measure (under both forward performance process framework and classical utility framework) converges to a constant, which is independent of the initial state of the stochastic factors in a stochastic factor model. The exponential convergence rate to the long-term limit is also obtained by using ergodic backward stochastic differential equation method. Finally, the paper establishes a connection between the two notions of entropic risk measures and their large time behavior.
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Finance and Stochastics, Springer Verlag (Germany), 2019, 23 (1), pp.239-273. 〈10.1007/s00780-018-0377-3〉
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https://hal.archives-ouvertes.fr/hal-01361585
Contributeur : Marie-Annick Guillemer <>
Soumis le : mercredi 7 septembre 2016 - 14:24:58
Dernière modification le : jeudi 7 février 2019 - 15:13:00

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Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou. An ergodic BSDE approach to entropic risk measure and its large time behavior. Finance and Stochastics, Springer Verlag (Germany), 2019, 23 (1), pp.239-273. 〈10.1007/s00780-018-0377-3〉. 〈hal-01361585〉

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