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Journal of Banking & Finance Vol. 35 No. 7 2011

Omega performance measure and portfolio insurance

Philippe Bertrand1; Jean-Luc Prigent2,3,4

1 Groupement de Recherche en Économie Quantitative d’Aix-Marseille · 2 Théorie Économique, Modélisation et Applications · 3 CY Cergy Paris Université · 4 Equipes Traitement de l'Information et Systèmes

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.

DOI
10.1016/j.jbankfin.2010.12.001
Volume
35
Issue
7
Pages
1811-1823
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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