| dc.contributor | 國貿系 | |
| dc.creator (作者) | Lee, H.-I.;Hsu, H.;Hu, LenKuo;Lin, C.-C. | |
| dc.creator (作者) | 胡聯國 | zh_TW |
| dc.date (日期) | 2011-10 | |
| dc.date.accessioned | 22-Jun-2015 16:03:19 (UTC+8) | - |
| dc.date.available | 22-Jun-2015 16:03:19 (UTC+8) | - |
| dc.date.issued (上傳時間) | 22-Jun-2015 16:03:19 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/76040 | - |
| dc.description.abstract (摘要) | 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. | |
| dc.format.extent | 170419 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Applied Economics Letters, 18(15), 1449-1454 | |
| dc.subject (關鍵詞) | economic theory; empirical analysis; insurance system; management; numerical model | |
| dc.title (題名) | Portfolio insurance with ratcheted floor as a long-term asset management strategy: Implications of loss aversion | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1080/13504851.2010.543062 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1080/13504851.2010.543062 | |
