Omega performance measure and portfolio insurance
Philippe Bertrand and
Jean-Luc Prigent
Journal of Banking & Finance, 2011, vol. 35, issue 7, 1811-1823
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; Performance; measure; Omega; ratio (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (58)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426610004486
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Omega performance measure and portfolio insurance (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:7:p:1811-1823
Access Statistics for this article
Journal of Banking & Finance is currently edited by Ike Mathur
More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().