Banca de QUALIFICAÇÃO: HERIC NERO LISBOA DOS SANTOS

Uma banca de QUALIFICAÇÃO de MESTRADO foi cadastrada pelo programa.
DISCENTE : HERIC NERO LISBOA DOS SANTOS
DATA : 18/06/2018
HORA: 15:00
LOCAL: NEPSA II
TÍTULO:

PURCHASE OF OPTIONS AS ALTERNATIVE FOR PROTECTION OF PORTFOLIO OF STOCKS AGAINST EVENTS OF THE BLACK SWAN TYPE

PALAVRAS-CHAVES:

Barbell Strategy, Black Swan, Put Options, Portfolio Hedging.

PÁGINAS: 24
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Administração
RESUMO:

The present study aim to understand how the investor who chooses for the barbell strategy with the greatest part of the portfolio seeking less risk exposure and consistent gains while the other part focuses on the high valuation potential and consequent protection in the option market through an atypical event. Thus, a backtest analysis of Petrobras' OTM put option (PETR4) was used to evaluate what proportion of the portfolio needed to be allocated in the strategy to protect the portfolio of a Black Swan event. The partial results indicated that the systematic purchase of options from Petrobras OTM helped smooth the periods of decline in the portfolio, which had a positive overall result of 22.01% for the period from January 2017 to the beginning of June 2018. However, it is necessary to expand the time horizon and combination of options to pinpoint the best composition for the strategy.

MEMBROS DA BANCA:
Presidente - 1802347 - VINICIO DE SOUZA E ALMEIDA
Interno - 1543333 - ANDERSON LUIZ REZENDE MOL
Externo à Instituição - MELQUIADES PEREIRA DE LIMA JUNIOR - IFRN