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100% Aktien zur Altersvorsorge - Über die Langfristrisiken einer Aktienanlage

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  • Albrecht, Peter

    () (Sonderforschungsbereich 504)

  • Maurer, Raimond

    () (Lehrstuhl fuer Investment, Portfolio Management und Alterssicherung)

Abstract

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 the tail conditional expectation.

Suggested Citation

  • Albrecht, Peter & Maurer, Raimond, 2000. "100% Aktien zur Altersvorsorge - Über die Langfristrisiken einer Aktienanlage," Sonderforschungsbereich 504 Publications 00-05, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  • Handle: RePEc:xrs:sfbmaa:00-05 Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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    References listed on IDEAS

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    1. Rubinstein, Ariel, 1982. "Perfect Equilibrium in a Bargaining Model," Econometrica, Econometric Society, vol. 50(1), pages 97-109, January.
    2. Nash, John, 1953. "Two-Person Cooperative Games," Econometrica, Econometric Society, vol. 21(1), pages 128-140, April.
    3. Horn, Henrik & Wolinsky, Asher, 1988. "Worker Substitutability and Patterns of Unionisation," Economic Journal, Royal Economic Society, vol. 98(391), pages 484-497, June.
    4. Ernst Fehr & Klaus M. Schmidt, 1999. "A Theory of Fairness, Competition, and Cooperation," The Quarterly Journal of Economics, Oxford University Press, vol. 114(3), pages 817-868.
    5. Byoung Heon Jun, 1989. "Non-cooperative Bargaining and Union Formation," Review of Economic Studies, Oxford University Press, vol. 56(1), pages 59-76.
    6. Ngo Van Long & Antoine Soubeyran, 1999. "Input Price Discrimination, Access Pricing, and Bypass," CIRANO Working Papers 99s-23, CIRANO.
    7. Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April.
    8. Marcel Boyer, 1999. "Les Expos, l'OSM, les universités, les hôpitaux : Le coût d'un déficit de 400 000 emplois au Québec = Expos, Montreal Symphony Orchestra, Universities, Hospitals: The Cost of a 400,000-Job Shortfall i," CIRANO Papers 99c-01, CIRANO.
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    Cited by:

    1. Raimond Mauer & Steffen P. Sebastian, 2002. "Inflation Risk Analysis of European Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 24(1), pages 47-78.
    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," Papers 01-12, Sonderforschungsbreich 504.

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