An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-07-23 (All new papers)
- NEP-RMG-2016-07-23 (Risk Management)
- NEP-UPT-2016-07-23 (Utility Models & Prospect Theory)
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