Ohh that sounds great!
They are both different places, Malaga is close to everywhere, many malls and shopping areas while Nerja is a more quiet place with beautiful beaches and also close to Granada. Don't get it wrong, there are malls and shoping areas too in Nerja.
I know Nerja is one of the favourite destination for Germans, it is a very nice place and homes prices are probably cheaper than in Malaga because they are not too close to the city center.
In a future it might be linked with Malaga city by train, but right now the only choices are bus or car.
I like both places, if I was a foreigner looking to buy a holiday home I would probably consider Nerja because what I said above, but I love quiet places...depends on what you are looking for.
Have you consider checking both places? you can come during the next spring to Malaga and in summer to Nerja, that would be ideal.
By now have you taken a look at our guides?:
I recommend also you to follow our facebook, we post there events in both places from time to time, you can start to become familiar with both places.