Time consistency and moving horizons for risk measures
classification
💱 q-fin.RM
math.OC
keywords
consistencydecisionsmovingrisktimeaffectedbellmanconsider
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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.
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