Banca de QUALIFICAÇÃO: THIAGO WANDERLEY MACEDO NEVES DE ALMEIDA

Uma banca de QUALIFICAÇÃO de MESTRADO foi cadastrada pelo programa.
STUDENT : THIAGO WANDERLEY MACEDO NEVES DE ALMEIDA
DATE: 31/01/2022
TIME: 18:30
LOCAL: VIDEOCONFERÊNCIA (https://meet.google.com/mfq-mfbz-qer)
TITLE:
Portfolio Insurance Optimized by Dynamic Floor

KEY WORDS:
Options Based Portfolio Insurance; OBPI, Implied Volatility, Dynamic Floor.

PAGES: 13
BIG AREA: Ciências Sociais Aplicadas
AREA: Administração
SUMMARY:
This study provides an optimized alternative to Options Based Portfolio Insurance. Assuming that the probability of a negative event varies with time - and therefore the insurance floor should not be maintained at any cost - the optimal percentage value of the portfolio to be spent on insurance was determined. It was also possible to obtain the ideal rollover date for put options. Consequently, the insured floor varied with the volatility implied in option prices, allowing for better returns and lower drawdowns than the unprotected portfolio. Indirectly, it can be inferred that the explanation for the results comes from the perception of risk by the market not representing the real risk. As with the stabilization and possible recovery of prices that occur after a significant drop, market confidence is not restored to the same extent. That's why volatility remains at high levels, consequently raising the cost of insurance, even with lower probabilities of negative events.


BANKING MEMBERS:
Interno - 1543333 - ANDERSON LUIZ REZENDE MOL
Interno - 2864355 - ISRAEL JOSÉ DOS SANTOS FELIPE
Presidente - 1802347 - VINICIO DE SOUZA E ALMEIDA
Notícia cadastrada em: 20/01/2022 16:31
SIGAA | Superintendência de Tecnologia da Informação - (84) 3342 2210 | Copyright © 2006-2024 - UFRN - sigaa03-producao.info.ufrn.br.sigaa03-producao