Omega Performance Measure and Portfolio Insurance

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

MoreLess

Year of publication:	2018
Authors:	Bertrand, Philippe
Other Persons:	Prigent, Jean-Luc (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Performance-Messung \| Performance measurement

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (60 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Banking and Finance, Vol. 35, No. 7, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 2010 erstellt
Other identifiers:	10.2139/ssrn.2180477 [DOI]
Classification:	G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012938627