Before revision:  We also present exact analytical bounds for the case where the dynamically inconsistent measureis also given by Average Value-at-Risk, and briefly discuss managerial implications in multi-period risk-assessment processes  .
After revision:  We also present exact analytical bounds for the case where the dynamically inconsistent measureis also given by Average Value-at-Risk, and briefly discuss managerial implications in multi-period risk-assessment processes Huang, Iancu, Petrik and Subramanian, "Static and Dynamic Conditional Value at Risk" (2012) .