9th Joint International Conference on Information Sciences (JCIS-06)

Long-Term Asset Management Strategy under Loss Aversion: A Quasi-Ladder Payoff Distribution Approach

Authors
Huai-i Lee 0, Hsinan Hsu, Len-Kuo Hu
Corresponding Author
Huai-i Lee
0Department of Finance, Wufeng Institute of Technology,
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DOI
https://doi.org/10.2991/jcis.2006.101How to use a DOI?
Keywords
Behavioral Finance, Loss Aversion, CPPI, Quasi-Ladder Payoff Distribution.
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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Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Publication Date
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ISBN
978-90-78677-01-7
DOI
https://doi.org/10.2991/jcis.2006.101How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Huai-i Lee
AU  - Hsinan Hsu
AU  - Len-Kuo Hu
PY  - NaN/NaN
DA  - NaN/NaN
TI  - Long-Term Asset Management Strategy under Loss Aversion: A Quasi-Ladder Payoff Distribution Approach
BT  - 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
UR  - https://doi.org/10.2991/jcis.2006.101
DO  - https://doi.org/10.2991/jcis.2006.101
ID  - LeeNaN/NaN
ER  -