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...

The continuing creation of portfolio insurance applications as well as the mixed research evidence suggests that so far no consensus has been reached about the effectiveness of portfolio insurance. Therefore, this paper provides a performance evaluation of the stop-loss, synthetic put and...