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Shortfall-Risiko/Excess-Chance-Entscheidungskalküle: Grundlagen und Beziehungen zum Bernoulli-Prinzip

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Author Info
Albrecht, Peter () (Sonderforschungsbereich 504)
Maurer, Raimond () (Lehrstuhl fuer Investment, Portfolio Management und Alterssicherung)
Möller, Matthias (WGZ Bank)

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Abstract

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 eröffnet zugleich eine neue Interpretationsmöglichkeit von Shortfall-Risikomaßen. Zum zweiten wird die Klasse der Shortfall-Risiko-Erwartungswert (SR/E)-Kalküle vorgestellt und ihre Beziehungen zum Bernoulli-Prinzip beleuchtet. Zum dritten wird symmetrisch zur Quantifizierung des Risikopotentials durch Shortfall-Risikomaße die Quantifizierung des Gewinnpotentials (Chance) durch Excess-Chancemaße vorgeschlagen. Schließlich wird die Klasse der Shortfall-Risiko/Excess-Chance (SR/EC)-Kalküle eingeführt und auch deren Beziehungen zum Bernoulli-Prinzip untersucht.

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Publisher Info
Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number 97-17.

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Length: 32 pages
Date of creation: 01 Jun 1997
Date of revision:
Handle: RePEc:xrs:sfbmaa:97-17

Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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  1. Raimond Maurer & Steffen Sebastian, 2002. "Inflation Risk Analysis of European Real Estate Securities," Working Paper Series: Finance and Accounting 51, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
    Other versions:
  2. Albrecht, Peter & Maurer, Raimond & Ruckpaul, Ulla, 2001. "On the Risks of Stocks in the Long Run:A Probabilistic Approach Based on Measures of Shortfall Risk," Sonderforschungsbereich 504 Publications 01-12, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
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