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題名 Portfolio insurance with ratcheted floor as a long-term asset management strategy: Implications of loss aversion
作者 Lee, H.-I.;Hsu, H.;Hu, LenKuo;Lin, C.-C.
胡聯國
貢獻者 國貿系
關鍵詞 economic theory; empirical analysis; insurance system; management; numerical model
日期 2011-10
上傳時間 22-六月-2015 16:03:19 (UTC+8)
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.
關聯 Applied Economics Letters, 18(15), 1449-1454
資料類型 article
DOI http://dx.doi.org/10.1080/13504851.2010.543062
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 22-六月-2015 16:03:19 (UTC+8)-
dc.date.available 22-六月-2015 16:03:19 (UTC+8)-
dc.date.issued (上傳時間) 22-六月-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) articleen
dc.identifier.doi (DOI) 10.1080/13504851.2010.543062
dc.doi.uri (DOI) http://dx.doi.org/10.1080/13504851.2010.543062