Estratégias de gestão de risco de investimentos no brasil durante a pandemia de covid-19

Abstract

We analyzed the performance of the Markowitz Minimum Variance and Risk Parity methods in risk management strategies for a portfolio of investments in Brazilian companies shares listed on the São Paulo Stock Exchange. The analysis period comprises the months of the economic crisis caused by the COVID-19 pandemic. The results indicate a better performance of these strategies compared to the uniform allocation of capital among the portfolio’s assets. In particular, the Minimum Variance showed significant results in reducing the portfolio’s risk during the most affected month by the crisis, March 2020. We developed the mathematical structure of the methods and proposed practical simplifications aiming at its applicability. The application of portfolio management in financial education, at the high school level, was illustrated through examples of portfolios containing two assets and using quadratic functions, matrices and basic statistics.