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Omega performance measure and portfolio insurance

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
Keywords : Portfolio insurance
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https://hal.archives-ouvertes.fr/hal-01445954
Contributor : Philippe Bertrand Connect in order to contact the contributor
Submitted on : Wednesday, January 25, 2017 - 2:48:26 PM
Last modification on : Tuesday, October 19, 2021 - 11:33:18 PM

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Philippe Bertrand, Jean-Luc Prigent. Omega performance measure and portfolio insurance. Journal of Banking and Finance, Elsevier, 2011, pp.1811-1823. ⟨10.1016/j.jbankfin.2010.12.001⟩. ⟨hal-01445954⟩

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