Time consistency and moving horizons for risk measures
Risk Management
2010-07-12 v2 Optimization and Control
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.
Keywords
Cite
@article{arxiv.0912.1396,
title = {Time consistency and moving horizons for risk measures},
author = {Samuel N. Cohen and Robert J. Elliott},
journal= {arXiv preprint arXiv:0912.1396},
year = {2010}
}
Comments
15 pages