title: |
Long-Term Asset Management Strategy under Loss Aversion: A Quasi-Ladder Payoff Distribution Approach |
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publication: |
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part of series: |
Advances in Intelligent Systems Research | |
ISBN: |
978-90-78677-01-7 | |
ISSN: |
1951-6851 | |
DOI: |
doi:10.2991/jcis.2006.101 (how to use a DOI) | |
author(s): |
Huai-i Lee, Hsinan Hsu, Len-Kuo Hu |
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corresponding author: |
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publication date: |
October 2006 |
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keywords: |
Behavioral Finance, Loss Aversion, CPPI, Quasi-Ladder Payoff Distribution. |
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abstract: |
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) |
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copyright: |
©
Atlantis Press. This article is distributed under the
terms of the Creative Commons Attribution License, which permits
non-commercial use, distribution and reproduction in any medium,
provided the original work is properly cited. |
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full text: |