Time consistency and moving horizons for risk measures

Abstract

We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treatment of time consistency which is independent of Bellman's equations, we show that there is a new sense in which these decisions can be seen as consistent.

15 pages

References in corpus (2)

• A general theory of Finite State Backward Stochastic Difference Equations
• A dual characterization of self-generation and exponential forward performances