Competitive Ratio as Coherent Measure of Risk

Iftikhar Ahmad (), Esther Mohr () and Günter Schmidt
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Iftikhar Ahmad: Saarland University
Esther Mohr: Saarland University
Günter Schmidt: University of Cape Town

A chapter in Operations Research Proceedings 2012, 2014, pp 63-69 from Springer

Abstract: Abstract A risk measure determines the quantity of an asset that needs to be kept in reserve in order to make the risk taken by an investor acceptable. In the last decade coherent measures of risk meeting a set of four desirable properties gain in importance. We prove the Competitive Ratio to be coherent since it satisfies the four required axioms. We explain risk management in online conversion problems, and show how the Competitive Ratio can be used to manage the risk.

Keywords: Risk Measure; Competitive Ratio; Online Algorithm; Coherent Risk Measure; Expect Shortfall (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/978-3-319-00795-3_10

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