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.
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© 2014 Springer International Publishing Switzerland
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Ahmad, I., Mohr, E., Schmidt, G. (2014). Competitive Ratio as Coherent Measure of Risk. In: Helber, S., et al. Operations Research Proceedings 2012. Operations Research Proceedings. Springer, Cham. https://doi.org/10.1007/978-3-319-00795-3_10
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DOI: https://doi.org/10.1007/978-3-319-00795-3_10
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