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Competitive Ratio as Coherent Measure of Risk

In: Operations Research Proceedings 2012

Author

Listed:
  • Iftikhar Ahmad

    (Saarland University)

  • Esther Mohr

    (Saarland University)

  • Günter Schmidt

    (University of Cape Town)

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.

Suggested Citation

  • Iftikhar Ahmad & Esther Mohr & Günter Schmidt, 2014. "Competitive Ratio as Coherent Measure of Risk," Operations Research Proceedings, in: Stefan Helber & Michael Breitner & Daniel Rösch & Cornelia Schön & Johann-Matthias Graf von der Schu (ed.), Operations Research Proceedings 2012, edition 127, pages 63-69, Springer.
    • Handle: RePEc:spr:oprchp:978-3-319-00795-3_10
    DOI: 10.1007/978-3-319-00795-3_10
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    Cited by:

    1. Esther Mohr & Robert Dochow, 2017. "Risk management strategies for finding universal portfolios," Annals of Operations Research, Springer, vol. 256(1), pages 129-147, September.

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