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"The Gamblers Ruin" und die kritische Wahrscheinlichkeit. Geeignete Risikomaße bei Anlagen zur Alterssicherung?

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  • Scholtz, Hellmut D.

Abstract

Ein wesentliches Ergebnis der Untersuchung ist, dass eine Analgestrategie mit Ertragswahrscheinlichkeiten kleiner als eine "kritische Wahrscheinlichkeit" eine latente Ruinwahrscheinlichkeit beinhaltet. Diese Wahrscheinlichkeit kann aus einem definierten Gewinn-/Verlustverhältnis einfach berechnet werden, bei dem die Überlebenswahrscheinlichkeit größer als die Ruinwahrscheinlichkeit ist.

Suggested Citation

  • Scholtz, Hellmut D., 2002. ""The Gamblers Ruin" und die kritische Wahrscheinlichkeit. Geeignete Risikomaße bei Anlagen zur Alterssicherung?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 43(11), pages 201-208.
    • Handle: RePEc:zbw:espost:90639
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    References listed on IDEAS

    as
    1. Hakansson, Nils H., 1971. "Capital Growth and the Mean-Variance Approach to Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(1), pages 517-557, January.
    2. Milton Friedman & L. J. Savage, 1952. "The Expected-Utility Hypothesis and the Measurability of Utility," Journal of Political Economy, University of Chicago Press, vol. 60(6), pages 463-463.
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    More about this item

    Keywords

    Risiko; Verlustbegrenzung; Anlagestrategie;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C70 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - General

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