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 …

Controlling and managing potential losses is one of the main objective of the Risk Management. Following Ben Ameur and … Prigent (2007) and Chen et al. (2008), and extending the first results by Hamidi et al. (2009) when adopting a risk management … depending on the Value-at-Risk level of the covered portfolio on the French stock market. This dynamic approach is derived from …

Sharpe-Omega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return … the Sharpe-Omega ratio. We determine in particular the optimal combination of risk free, stock and call/put instruments …