The fact that the boundary theory is conformal means that renormalization does not induce running of the coupling. However, there are divergences which have to be regularized and renormalized. The regularization requires the introduction of an arbitrary scale, which is not Weyl invariant and leads to a conformal anomaly (in even dimensions).
Correspondingly, also the bulk theory has to be regularized by introducing a cutoff $\epsilon$ on the radial coordinate. The supergravity fields have to be expanded close to the horizon and local counterterms have to be introduced to subtract the divergences when taking the limit of $\epsilon\to 0$. For the metric, the regularization procedure requires picking a reference metric $g_{(0)}$ from the conformal structure on the boundary. For $d$ (boundary dimension) even, the dependence of the counterterm on the chosen reference metric leads to a renormalized Lagrangian, that is not Weyl invariant. One picks up exactly the expected Weyl anomaly.
This is a very neat example of a connection of boundary UV physics (the cutoff) and bulk IR physics (divergences close to the boundary) which lead to the same Weyl anomaly.
For details, see the paper by Henningson and Skenderis. There are also these very instructive lecture notes on holographic renormalization with the example of renormalization of the action of a massive bulk scalar.
This post imported from StackExchange Physics at 2015-02-05 10:16 (UTC), posted by SE-user physicus