| dc.contributor | 國貿系 | |
| dc.creator (作者) | Lee, H.-I.;Hsu, H.;Hu, Len-Kuo | |
| dc.creator (作者) | 胡聯國 | zh_TW |
| dc.date (日期) | 2006 | |
| dc.date.accessioned | 21-Jul-2015 15:08:11 (UTC+8) | - |
| dc.date.available | 21-Jul-2015 15:08:11 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-Jul-2015 15:08:11 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/76752 | - |
| dc.description.abstract (摘要) | The prospect theory implies that the inclusion of a gain-lock-in device into the floor of portfolio insurance can benefit the long-term asset management under loss aversion. We find that the relaxation of the multiple of the CPPI from a constant to a dynamic can improve the performance in the short-term. Thus, integrating these two properties into one model, we propose the contingently ratcheted floor variable proportion portfolio insurance (CRF-VPPI). | |
| dc.format.extent | 176 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006, Volume 2006, 論文編號 CIEF-244 | |
| dc.subject (關鍵詞) | Behavioral finance; CPPI; Loss aversion; Quasi-ladder payoff distribution; Finance; Insurance; Relaxation processes; Strategic planning; Asset management | |
| dc.title (題名) | Long-term asset management strategy under loss aversion: A quasi-ladder payoff distribution approach | |
| dc.type (資料類型) | conference | en |
| dc.identifier.doi (DOI) | 10.2991/jcis.2006.101 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.2991/jcis.2006.101 | |
