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...

This paper examines the equilibrium of financial portfolios under insurance

As emphasized by the U.S. Dodd-Frank Act and the European MiFID directive, financial institu-