Shortfall-Risks of Stocks in the Long Run

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 result it is shown that there is no time diversification with respect to mean excess loss, which can be considered as a measure of worst case risk

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Year of publication:	[2005]
Authors:	Maurer, Raimond
Other Persons:	Albrecht, Peter (contributor) ; Ruckpaul, Ulla (contributor)
Publisher:	[2005]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Financial Markets and Portfolio Management, Vol. 15, No. 4, 2001 Volltext nicht verfügbar
Classification:	G0 - Financial Economics. General ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012784379