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100% Aktien zur Altersvorsorge - Über die Langfristrisiken einer Aktienanlage

Author

Listed:
  • 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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    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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