Piecewise nonlinear goal-directed CPPI strategy

NCUIR > School of Management at National Central University > Graduate Institute of Information Management > journal & Dissertation > Item 987654321/31515

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31515

Title:	Piecewise nonlinear goal-directed CPPI strategy
Authors:	Chen,J. S.;Liao,Benjamin Penyang
Contributors:	資訊管理研究所
Keywords:	MUTUAL FUND TOURNAMENTS;RISK-TAKING;INCENTIVES
Date:	2007
Issue Date:	2010-07-06 17:49:41 (UTC+8)
Publisher:	中央大學
Abstract:	Traditional portfolio insurance (PI) strategy, such as constant proportion portfolio insurance (CPPI), only considers the floor constraint but not the goal aspect. This paper proposes a goal-directed (GD) strategy to express an investor's goal-directed tr
Relation:	EXPERT SYSTEMS WITH APPLICATIONS
Appears in Collections:	[Graduate Institute of Information Management] journal & Dissertation

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