Sports mega‐events, such as the Olympic Games or the Super Bowl, are attractive targets for terrorist organizations, due to their visibility, size, and number of people involved. Two characteristics of sports mega‐events, however, make them distinctive in comparison with other well‐studied target protection problems in counterterrorism analysis (such as transportation hubs or infrastructure facilities). First, defensive measures are often publicly known. Second, their finite horizon means that deterrence against any attack must be prioritized. In this article we thus propose a method that identifies the best portfolio of defensive measures the defense may adopt, given a fixed budget, to minimize the chances of suffering a terrorist attack during a sports mega‐event. The method makes some relevant contributions to adversarial risk analysis: (i) it represents attackers that can choose among multiple attack scenarios and the no‐attack scenario; (ii) it measures the deterrence effect caused by synergic portfolios of defensive measures; and (iii) it proposes an algorithm that identifies dominated portfolios and may, thus, overcome the scalability problems inherent to this portfolio optimization. We apply this method to a real‐world defense problem, revisiting the defensive countermeasure planning for the 2016 Brazilian Olympic Games in Rio de Janeiro, Brazil. In the case study, we find a nonlinear relationship between budget expenditure and deterrence, as well as a decreasing marginal effectiveness use of resources after a given budget threshold, which would support a more efficient allocation of investments in the Games defense.