Time consistency and moving horizons for risk measures

Samuel N. Cohen and Robert J. Elliott

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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.

Date: 2009-12, Revised 2010-07
New Economics Papers: this item is included in nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0912.1396

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