English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94986/125531 (76%)
Visitors : 31061145      Online Users : 446
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    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.
    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

    Files in This Item:

    File Description SizeFormat
    1449-1454.pdf166KbAdobe PDF563View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback