As a contribution to the discussion on the risks of stocks in the long run the present paper analyses the shortfall risks of stocks using the risk measures shortfall probability, mean excess loss and shortfall expectation for various deterministic as well as a stochastic benchmark. As a main...

In dieser Arbeit soll ein einheitlicher konzeptualer Zugang zur Quantifizierung des Verlustpotentials (Risiko) eines zufallsabhängigen finanziellen Ergebnisses dargestellt werden. Die Maße des (Lower Partial Moments)-Typus sind hierin als Spezialfall enthalten. Eine solche Vorgehensweise...

This paper analyses the temporal sequence of the shortfall-risk of a stock investment relative to fixed-target returns regarding investment periods of 1 up to 30 years. For this purpose we use three different risk-measures, namely the shortfall-probability, the shortfall-expectation as well as...