Banca de DEFESA: HERIC NERO LISBOA DOS SANTOS

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
DISCENTE : HERIC NERO LISBOA DOS SANTOS
DATA : 31/08/2018
HORA: 14:00
LOCAL: NEPSA II, Auditório IV.
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: 36
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 results indicated that the systematic purchase of Petrobrás (PETR4) OTM options helped to smooth the loss of profitability of the portfolio, thus achieving an increase of 12% in profitability with the use of options as protection mechanism.

MEMBROS DA BANCA:
Presidente - 1802347 - VINICIO DE SOUZA E ALMEIDA
Externo ao Programa - 1777131 - MARIANA RODRIGUES DE ALMEIDA
Externo à Instituição - RODRIGO JOSÉ GUERRA LEONE - UnP