Bertrand, Philippe; Prigent, Jean-luc - In: Journal of Banking & Finance 35 (2011) 7, pp. 1811-1823
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...