IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

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

Listed author(s):
  • Albrecht, Peter


    (Sonderforschungsbereich 504)

  • Maurer, Raimond


    (Lehrstuhl fuer Investment, Portfolio Management und Alterssicherung)

  • Möller, Matthias

    (WGZ Bank)

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.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

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

in new window

Length: 32 pages
Date of creation: 01 Jun 1997
Handle: RePEc:xrs:sfbmaa:97-17
Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
Contact details of provider: Postal:
D-68131 Mannheim

Phone: (49) (0) 621-292-2547
Fax: (49) (0) 621-292-5594
Web page:

More information through EDIRC

Web page:

Order Information: Email:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:xrs:sfbmaa:97-17. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carsten Schmidt)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.