Downside Risk Aplicado a Carteiras de Ações Brasileiras durante Período Pandêmico da COVID-19

ABSTRACT

Objective of this paper is the formation and optimization of investment portfolios with shares traded on B3 and based on the theory of diversification of the Markowitz model and on Quadratic Programming. The minimization of the portfolio risk was considered by the Downside Risk system, modeled and implemented computationally. The data collection period began in 2020, the year in which there was a global economic crisis due to the Sars-CoV-2 pandemic and consequent isolation measures that profoundly affected the economy. Three portfolios were formed that performed between January 2021 and March 2022 and showed better-than-expected results compared to the percentage change in the Ibovespa.

Keywords:
quadratic programming; Downside Risk; COVID-19 pandemic