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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/76040


    Title: Portfolio insurance with ratcheted floor as a long-term asset management strategy: Implications of loss aversion
    Authors: Lee, H.-I.;Hsu, H.;Hu, LenKuo;Lin, C.-C.
    胡聯國
    Contributors: 國貿系
    Keywords: economic theory;empirical analysis;insurance system;management;numerical model
    Date: 2011-10
    Issue Date: 2015-06-22 16:03:19 (UTC+8)
    Abstract: The existing literature has revealed that the performance of current portfolio insurance strategies as long-term asset management is limited. Prospect theory implies that creation of ladder return distributions by portfolio insurance can improve long-term asset management with criteria of loss avoidance and gain protection. Based on this principle, we propose the Ratcheted Floor Variable Proportion Portfolio Insurance (RF-VPPI) as a competing strategy with the Constant Proportion Portfolio Insurance (CPPI) and rolling-CPPI strategies. Simulations and empirical tests demonstrate that the RF-VPPI outperforms the CPPI and the rolling-CPPI in the long term. © 2011 Taylor & Francis.
    Relation: Applied Economics Letters, 18(15), 1449-1454
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/13504851.2010.543062
    DOI: 10.1080/13504851.2010.543062
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

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