with 50% of the total publications found being released during the last three years. During the period from 2012 to 2014, 21 papers were published, thus 27% of the total publications were submitted during the last three years while the initial paper appeared during the first half of the 1985's (i.e. 30 years earlier).

In this paper, we propose a comparison among three portfolio insurance strategies, namely the constant proportion portfolio insurance, the time-invariant portfolio protection, and the exponential proportion portfolio insurance, via an in-depth performance analysis. We aim to ascertain whether strategies characterized by variable parameters can outperform those with constant parameters by measuring potential returns, investment riskiness, downside protection capability, and ability to capture market upside. The results, achieved in a model-free framework by exploiting bootstrapping techniques, advise that no winning strategy exists overall, even when considering different volatility regimes, rebalancing frequencies, and protection levels.

We introduce a new exotic option to be used within structured products to address a key disadvantage of standard time‐invariant portfolio protection: the well‐known cash‐lock risk. Our approach suggests enriching the framework by including a threshold in the allocation mechanism so that a guaranteed minimum equity exposure (GMEE) is ensured at any point in time. To be able to offer such a solution still with hard capital protection, we apply an option‐based structure with a dynamic allocation logic as underlying. We provide an in‐depth analysis of the prices of such new exotic options, assuming a Heston–Vasicek‐type financial market model, and compare our results with other options used within structured products. Our approach represents an interesting alternative for investors aiming at downsizing protection via time‐invariant portfolio protection strategies, meanwhile being also afraid to experience a cash‐lock event triggered by market turmoils.