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

DOI

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)

Copyright

© 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/).

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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  - 10.2991/jcis.2006.101
ID  - Lee2006/10
ER  -