On the risks of stocks in the long run : a probabilistic approach based on measures of shortfall risk

Albrecht, Peter ; Maurer, Raimond ; Ruckpaul, Ulla

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URL: https://ub-madoc.bib.uni-mannheim.de/2810
Additional URL: http://www.fmpm.ch/files/2001_04_Albrecht_Maurer_R...
URN: urn:nbn:de:bsz:180-madoc-28101
Document Type: Working paper
Year of publication: 2001
The title of a journal, publication series: None
Publication language: English
Institution: School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
MADOC publication series: Sonderforschungsbereich 504 > Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung (Laufzeit 1997 - 2008)
Subject: 330 Economics
Subject headings (SWD): Deutschland , Aktie , Wertpapieranlage , Aktienrendite , Risiko , Laufzeit
Abstract: The present paper examines the long-term risks of a representative one-time investment in German stocks (DAX/0) in real terms relative to various risk free investments (returns of 0%, 2% and 4% in real terms) as well as relative to a representative investment in German bonds (REXP). As underlying risk measures the shortfall probability, the mean excess loss (conditional shortfall expectation) as well as the product of these two measures, the shortfall expectation have been used. One main structural result is that the mean excess loss is monotonously increasing over time. This reveals a long-term worst case-characteristic of a stock investment.
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