On the Risks of Stocks in the Long Run:A Probabilistic Approach Based on Measures of Shortfall Risk

The present paper examines the long-term risks of a representative one-time investment in German stocks (DAX/0) in real terms relative to various risk free investments (returns of 0%, 2% and 4% in real terms) as well as relative to a representative investment in German bonds (REXP). As underlying risk measures the shortfall probability, the mean excess loss (conditional shortfall expectation) as well as the product of these two measures, the shortfall expectation have been used. One main structural result is that the mean excess loss is monotonously increasing over time. This reveals a long-term worst case-characteristic of a stock investment.

On the risks of stocks in the long run : a probabilistic approach based on measures of shortfall risk

The present paper examines the long-term risks of a representative one-time investment in German stocks (DAX/0) in real terms relative to various risk free investments (returns of 0%, 2% and 4% in real terms) as well as relative to a representative investment in German bonds (REXP). As underlying risk measures the shortfall probability, the mean excess loss (conditional shortfall expectation) as well as the product of these two measures, the shortfall expectation have been used. One main structural result is that the mean excess loss is monotonously increasing over time. This reveals a long-term worst case-characteristic of a stock investment

Zu den Langfristrisiken einer Aktienanlage : ein probabilistischer Ansatz auf der Basis von Shortfallrisikomaßen

Aktienanlage, Risik

Cost Average-Effekt: Fakt oder Mythos?

For practitioners, the Cost-Average phenomenon is part of the basic knowledge concerning investment theory. The core effect lies within the possibility to achieve in average a lower acquisition cost compared to the average price of the stock or investment fund. With the regu-lar investment of equal amounts, more shares can be bought, when prices are low and less share are bought, when prices are high. Above this, many practitioners attribute increased significance to the Cost-Average phenomenon, by deducing that savings plans, compared to a lump sum investments, in general reduce the timing risk. In this paper, we theoretically check this rather intuitive conclusion. The main focus is on a specific analysis of risk- and return consequences of investment plans compared to lump sum investments. We find that regarding both the terminal value and the shortfall-probability regarding a nominal capital maintenance investment plans are inferior to lump sum investments. In contrast, with respect to the average amount of loss in case of a loss, the investment plan turns out to be the better strategy.

Hepatic Cytochrome P-450. A Proton Magnetic Relaxation Study of Microsomal, Solubilized and Partially Reconstituted Enzyme System

The longitudiJ:ial proton magnetic relaxation times, Ti, were measured from -5 to 40 °c for microsomal, solubilized and reconstituted cytochrome P-450 obtained from phenobarbital-induced rat livers. The paramagnetic contribution to the rates was derived by subtraction of the rates measured on dithionite-CO-reduced samples. The same values were obtained for microsomal P-450 on reduction with NADPH. PMR titratio.n by KCN yielded a dissociation constant of about 30 mM. This is three orders of magnitude larger than for metmyoglobin. It is concluded that the measured PMR rates are most likely due to the P-450 (and P-420) haem-iron while the 300/o non-haem iron found in both the microsomal and s olubilized P-450 is .ineffective for the PMR rates. These rates increase several times on isotopic dilution (D20 for H20) with the microsomes and diminish for the solubilized samples. Microsomes show 170/o residual, encaged, H20. Most of their paramagnetic PMR rate is due to the parama.gnetic iron located on the outside of microsomes. This is demonstrated by measurements with deuterated samples to which 190/o H20 had been added. Hence, the solubilized P-450 is homogeneous regarding PMR, but the microsomes are not