Long-Term Asset Management Strategy under Loss Aversion: A Quasi-Ladder Payoff Distribution Approach
- https://doi.org/10.2991/jcis.2006.101How to use a DOI?
- Behavioral Finance, Loss Aversion, CPPI, Quasi-Ladder Payoff Distribution.
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)
- © 2006, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Huai-i Lee AU - Hsinan Hsu AU - Len-Kuo Hu PY - 2006/10 DA - 2006/10 TI - Long-Term Asset Management Strategy under Loss Aversion: A Quasi-Ladder Payoff Distribution Approach BT - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06) PB - Atlantis Press SN - 1951-6851 UR - https://doi.org/10.2991/jcis.2006.101 DO - https://doi.org/10.2991/jcis.2006.101 ID - Lee2006/10 ER -