Target return
To measure the shortfall risk and the excess chance, the investor has to define a target
return. This can be a deterministic one, for example a riskless attainable final wealth
position or a minimum return, spezified by a controlling authority or by the market.
Besides this, it is also interesting to consider a random target return, e.g. the return
or the price of a stock- or a bond-index.
See also:
shortfall risk measures
Literature:
Adam, Albrecht & Maurer (1996)
