Economics at your fingertips  

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

Wing Fung Chong (), Ying Hu (), Gechun Liang () and Thaleia Zariphopoulou ()
Additional contact information
Wing Fung Chong: Department of Mathematics, King's College London
Ying Hu: IRMAR - Institut de Recherche Mathématique de Rennes - UR1 - Université de Rennes 1 - UNIV-RENNES - Université de Rennes - AGROCAMPUS OUEST - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement - INSA Rennes - Institut National des Sciences Appliquées - Rennes - INSA - Institut National des Sciences Appliquées - UNIV-RENNES - Université de Rennes - ENS Rennes - École normale supérieure - Rennes - UR2 - Université de Rennes 2 - UNIV-RENNES - Université de Rennes - CNRS - Centre National de la Recherche Scientifique
Thaleia Zariphopoulou: University of Texas at Austin [Austin]

Post-Print from HAL

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.

Date: 2019
Note: View the original document on HAL open archive server:
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in Finance and Stochastics, Springer Verlag (Germany), 2019, 23 (1), pp.239-273. ⟨10.1007/s00780-018-0377-3⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1007/s00780-018-0377-3

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

Page updated 2021-03-28
Handle: RePEc:hal:journl:hal-01361585