Omega performance measure and portfolio insurance
Résumé
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