13:00
Much mathematical work has gone into the creation of time-consistent nonlinear expectations. When we think of implementing these, various problems arise and destroy the beautiful consistency properties we have worked so hard to create. One of these problems is to do with horizon dependence, in particular, where a portfolio's value is considered at a time t+m, where t is the present time and m is a fixed horizon.
In this talk we shall discuss various notions of time consistency and the corresponding solution concepts. In particular, we shall focus on notions which pay attention to the space of available policies, allowing for commitment devices and non-markovian restrictions. We shall see that, for any time-consistent nonlinear expectation, there is a notion of time consistency which is satisfied by the moving horizon problem.