Article ID Journal Published Year Pages File Type
5090256 Journal of Banking & Finance 2011 13 Pages PDF
Abstract
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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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