Time consistency and moving horizons for risk measures

Details Time consistency and moving horizons for risk measures Time consistency and moving horizons for risk measures

2009-12-08

arxiv.org/abs/0912.1396v2

Economy

Quantitative Finance

Risk Management

15 pages

Scientific paper

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.

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