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arxiv: 0912.1396 · v2 · submitted 2009-12-08 · 💱 q-fin.RM · math.OC

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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