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

Author

Listed:
  • Albrecht, Peter

    () (Sonderforschungsbereich 504)

  • Maurer, Raimond

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

  • Möller, Matthias

    (WGZ Bank)

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.

Suggested Citation

  • Albrecht, Peter & Maurer, Raimond & Möller, Matthias, 1997. "Shortfall-Risiko/Excess-Chance-Entscheidungskalküle: Grundlagen und Beziehungen zum Bernoulli-Prinzip," Sonderforschungsbereich 504 Publications 97-17, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  • 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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    Cited by:

    1. Maurer, Raimond H. & Schlag, Christian, 2002. "Money-back guarantees in individual pension accounts: Evidence from the German pension reform," CFS Working Paper Series 2002/03, Center for Financial Studies (CFS).
    2. Walther, Ursula, 2002. "Strategische Asset-Allokation aus Sicht des privaten Kapitalanlegers," Freiberg Working Papers 2002,12, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
    3. 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.
    4. Berg, Ernst & Starp, Michael, 2006. "Farm Level Risk Assessment Using Downside Risk Measures," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25400, International Association of Agricultural Economists.
    5. Albrecht, Peter & Klett, Timo, 2004. "Referenzpunktbezogene risikoadjustierte Performancemaße : theoretische Grundlagen," Papers 04-10, Sonderforschungsbreich 504.
    6. 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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