Portfolio Insurance Strategies: OBPI Versus CPPI

@inproceedings{Bertrand2001PortfolioIS,
  title={Portfolio Insurance Strategies: OBPI Versus CPPI},
  author={Philippe Bertrand and Jean-Luc Prigent},
  year={2001}
}
The purpose of this article is to analyze and compare two standard portfolio insurance methods: OBPI and CPPI. Various criteria are used such as comparison of payo¤s at maturity, stochastic or ”quantile” dominance of their returns...Dynamic hedging properties are also examined, in particular classical delta hedging. 

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