Annaert, Jan; Osselaer, Sofieke Van; Verstraete, Bert - In: Journal of Banking & Finance 33 (2009) 2, pp. 272-280
This paper evaluates the performance of the stop-loss, synthetic put and constant proportion portfolio insurance techniques based on a block-bootstrap simulation. We consider not only traditional performance measures, but also some recently developed measures that capture the non-normality of...