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Abordagens de Multiplicador Ótimo para Estratégia de Investimento do Portfólio de Proporção Constante com Segurança

Author

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  • Oliveira, André Barbosa
  • Valls Pereira, Pedro Luiz

Abstract

Investing in the stock market is risky, especially during crises. The Constant Proportion Portfolio Insurance (CPPI) strategy allows investors to benefit from market highs while controlling losses during downturns. This article presents an optimization of CPPI with optimal multipliers based on expected utility, Sortino ratio, VaR, and Vega. Comparing the performance of these approaches 23 years of historical data, we found that CPPI based on expected utility and Vega performed better in terms of the omega ratio over the analyzed period.

Suggested Citation

  • Oliveira, André Barbosa & Valls Pereira, Pedro Luiz, 2026. "Abordagens de Multiplicador Ótimo para Estratégia de Investimento do Portfólio de Proporção Constante com Segurança," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 80(1), March.
    • Handle: RePEc:fgv:epgrbe:v:80:y:2026:i:1:a:93032
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