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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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