In this paper, a link between a time-consistent and a pre-commitment investment strategy is established. We define an implied investment target, which is implicitly contained in a time-consistent strategy at a given time step and wealth level. By imposing the implied investment target at the...

According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public market data and idiosyncratic portfolio constraints imposed by an investor holding the portfolio. Depending on the constraints, one and the same portfolio could have different...

We present four numerical methods to compute the Value-at-Risk and Expected Shortfall risk measure values of portfolios with financial options. The numerical methods are based on either wavelets or Fourier cosine approximations and belong to the class of Fourier inversion methods. We show that...