Before revision: Decision making in the presence of randomness is an important problem, particularly in finance. Often, decision makers base their choices on the values of `risk measures' or `nonlinear expectations'; it is important to understand how these decisions evolve through time. In this paper, we consider how these decisions are affected by the use of a moving horizon, and the possible inconsistencies that this creates.
After revision: 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.