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Omega performance measure and portfolio insurance

  • Bertrand, Philippe
  • Prigent, Jean-luc

We analyze the performance of the two main portfolio insurance methods, the OBPI and CPPI strategies, using downside risk measures. For this purpose, we introduce Kappa performance measures and especially the Omega measure. These measures take account of the entire return distribution. We show that the CPPI method performs better than the OBPI. As a-by-product, we determine the set of threshold values for these risk/reward performance measures.

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 35 (2011)
Issue (Month): 7 (July)
Pages: 1811-1823

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Handle: RePEc:eee:jbfina:v:35:y:2011:i:7:p:1811-1823
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