Time consistency and moving horizons for risk measures
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0912.1396.
Date of creation: Dec 2009
Date of revision: Jul 2010
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Susanne Klöppel & Martin Schweizer, 2007. "Dynamic Indifference Valuation Via Convex Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 17(4), pages 599-627.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Goldman, Steven M, 1980. "Consistent Plans," Review of Economic Studies, Wiley Blackwell, vol. 47(3), pages 533-37, April.
- Peleg, Bezalel & Yaari, Menahem E, 1973. "On the Existence of a Consistent Course of Action when Tastes are Changing," Review of Economic Studies, Wiley Blackwell, vol. 40(3), pages 391-401, July.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.