Faculty of Economics and Business Administration Publications Database

Shortfall Risk of Stocks in the Long Run

Albrecht, Peter
Ruckpaul, Ulla
Volume: 15
Number: 4
Pages: 481 - 499
ISSN-Print: 1555-4961
Link External Source: Online Version
Year: 2001
Abstract: As a contribution to the discussion on the risks of stocks in the long run the present paper analyses the shortfall risks of stocks using the risk measures shortfall probability, mean excess loss and shortfall expectation for various deterministic as well as a stochastic benchmark. As a main result it is shown that there is no time diversification with respect to mean excess loss, which can be considered as a measure of worst case risk.