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Time consistency and moving horizons for risk measures

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  • Samuel N. Cohen
  • Robert J. Elliott

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.

Suggested Citation

  • Samuel N. Cohen & Robert J. Elliott, 2009. "Time consistency and moving horizons for risk measures," Papers 0912.1396, arXiv.org, revised Jul 2010.
    • Handle: RePEc:arx:papers:0912.1396
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    References listed on IDEAS

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    6. Kang Boda & Jerzy Filar, 2006. "Time Consistent Dynamic Risk Measures," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(1), pages 169-186, February.
    7. Hu, Ying & Ma, Jin & Peng, Shige & Yao, Song, 2008. "Representation theorems for quadratic -consistent nonlinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1518-1551, September.
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