Banca de QUALIFICAÇÃO: SOLANGE DOS SANTOS RODRIGUES

Uma banca de QUALIFICAÇÃO de MESTRADO foi cadastrada pelo programa.
STUDENT : SOLANGE DOS SANTOS RODRIGUES
DATE: 25/02/2021
TIME: 08:00
LOCAL: VIDEOCONFERÊNCIA (https://meet.google.com/jpe-njar-fzc)
TITLE:

DIVERSIFICATION WITH FUTURE CONTRACTS IN VARIABLE INCOME PORTFOLIOS IN BRAZIL

KEY WORDS:

Future Contracts. Portfolio Diversification. Monetary policy.

PAGES: 20
BIG AREA: Ciências Sociais Aplicadas
AREA: Administração
SUMMARY:

This research aims to examine the behavior of variable income portfolios with the addition of futures contracts in the different monetary policy regimes, in the Brazilian market. As a result, it is expected to identify the benefits of diversification with futures contracts in the Brazilian market and, above all, in what economic circumstances these assets should be included in stock portfolios in order to obtain significant gains. Specifically, the expected results are that in times of restrictive policy, the inclusion of future contracts is beneficial for the portfolios in question. Thus, this work is aligned with the international literature that explores themes related to the construction and management of portfolios, specifically about the benefits of including future contracts in stock portfolios. In methodological terms, this work uses Brazilian data between 2000 and 2020 of the daily quotations of stock indexes and futures contracts, as well as Selic data to define the monetary policy phases. In this sense, the methodology uses the techniques of minimum variance and the descriptive statistics of the data are calculated, where the expected returns, risk and the correlation structure of the portfolios in question are estimated, to analyze the behavior of the portfolios with and without future contracts. throughout the sample period, in addition to a separate analysis during regime change.

BANKING MEMBERS:
Interno - 1543333 - ANDERSON LUIZ REZENDE MOL
Interno - 053.812.984-04 - ISRAEL JOSE DOS SANTOS FELIPE - UFOP
Presidente - 1802347 - VINICIO DE SOUZA E ALMEIDA