2009/12/08 by Samuel N. Cohen, Robert J. Elliott, Cohen, Samuel N. +1
Decision Sciences · Economics, Econometrics and Finance · #Risk and Portfolio Optimization #Stochastic processes and financial applications #Economic theories and models
paper · pdf · doi:10.48550/arxiv.0912.1396
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.