20 citations · 57 across the 19 of their papers we have counts for
Showing 2016 · q-fin.MFShow all
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q-fin.MF2016
Predictable Forward Performance Processes: The Binomial Case
Bahman Angoshtari, Thaleia Zariphopoulou, Xun Yu Zhou
We introduce a new class of forward performance processes that are endogenous and predictable with regards to an underlying market information set and, furthermore, are updated at…
q-fin.MF2016
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Wing Fung Chong, Ying Hu, Gechun Liang +1
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 repre…