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政大典藏 > College of Commerce > Department of International Business > Periodical Articles > Item 140.119/76040

Please use this identifier to cite or link to this item: https://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 link:	http://dx.doi.org/10.1080/13504851.2010.543062
DOI:	10.1080/13504851.2010.543062
Appears in Collections:	[Department of International Business] Periodical Articles

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