In investment practice, expected returns are assumed to be time-varying. Instrumental variables like dividend yields or term spreads are employed to predict expected returns. However, there is a substantial amount of estimation risk (or, parameter uncertainty) attached to these predictive...

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...