UNIVERSIDAD ESAN

MAESTRIA EN FINANZAS

ASIGNATURA:

GESTION DE CARTERAS DE INVERSION

PROFESOR:

LUIS CHAVEZ BEDOYA MERCADO

TITULO DEL TRABAJO: CASO 2

El presente trabajo ha sido realizado de acuerdo a los

Reglamentos de la Universidad ESAN por:

Lima Condori, Denis Reynaldo

Loyola Agero, Linda Nelly
Vargas Cuno, Nstor
Vega Gamonal, Jessica

Surco, 30 de Junio de 2014

CONSTRUCCION DE LA FRONTERA EFICIENTE

Ri: Rendimiento mensual de la accin i

ESCENARIO PROB. OCURRENCIA

1
10%
2
15%
3
40%
4
35%

r1
5%
3%
0%
-7%

r2
-1%
2%
2%
2.5%

r3
3%
4%
-10%
8%

r4
2%
-1%
3%
0%

PREGUNTA1
VECTOR RENDIMIENTOS ESPERADOS
r1 = 10%x5% +15%x3% + 40%x0% + 35%x-7%

= -1.50%

r2 = 10%x-1% +15%x2% + 40%x2% + 35%x2.5% = 1.88%

r3 = 10%x3% +15%x4% + 40%x-10% + 35%x8% = -0.30%
r4 = 10%x2% +15%x-1% + 40%x3% + 35%x0%

r1 =

-1.50%

r2 =
r3 =

1.88%
-0.30%

r4 =

1.25%

= 1.25%

-1.50%

r=

1.88%
-0.30%
1.25%

VARIANZA
(1)2

(2)2

(3)2

(4)2

PROB*(r1-r1)^2

PROB*(r2-r2)^2

PROB*(r3-r3)^2

PROB*(r4-r4)^2

0.000423
0.000304
0.000090
0.001059

0.000083
0.000000
0.000001
0.000014

0.000109
0.000277
0.003764
0.002411

0.000006
0.000076
0.000123
0.000055

VARIANZA ()2

0.001875

0.000097

0.006561

0.000259

DESV EST.()

4.33%

0.99%

8.10%

1.61%

COVARIANZA
12

13

14

23

24

34

PROB*(r1-r1)*(r2-r2) PROB*(r1-r1)*(r3-r3) PROB*(r1-r1)*(r4-r4) PROB*(r2-r2)*(r3-r3) PROB*(r2-r2)*(r4-r4) PROB*(r3-r3)*(r4-r4)

ij

-0.000187
0.000008
0.000008
-0.000120

0.000215
0.000290
-0.000582
-0.001598

0.000049
-0.000152
0.000105
0.000241

-0.000095
0.000008
-0.000049
0.000182

-0.000022
-0.000004
0.000009
-0.000027

0.000025
-0.000145
-0.000679
-0.000363

-0.000291

-0.001675

0.000243

0.000046

-0.000044

-0.001163

MATRIZ DE COVARIANZA:

1
2
3
4

1
0.0018750
-0.0002913
-0.0016750
0.0002425

2
-0.0002913
0.0000972
0.0000463
-0.0000444

3
-0.0016750
0.0000463
0.0065610
-0.0011625

4
0.0002425
-0.0000444
-0.0011625
0.0002588

PREGUNTA 2
A) FRONTERA EFICIENTE SIN RESTRICCION EN LOS PESOS (CON VENTA EN CORTO)

Con venta en corto

Num.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

Desv. Estandar Rend. True Rend. Esp T

w1
0.000%
1.109%
0.000%
9.64%
0.000%
1.109%
0.100%
9.64%
0.000%
1.109%
0.200%
9.64%
0.000%
1.109%
0.300%
9.64%
0.000%
1.109%
0.400%
9.64%
0.000%
1.109%
0.500%
9.64%
0.000%
1.109%
0.600%
9.64%
0.000%
1.109%
0.700%
9.64%
0.000%
1.109%
0.800%
9.64%
0.000%
1.109%
0.900%
9.64%
0.000%
1.109%
1.000%
9.64%
0.003%
1.108%
1.100%
9.61%
0.106%
1.200%
1.200%
7.87%
0.223%
1.300%
1.300%
5.92%
0.339%
1.400%
1.400%
3.97%
0.456%
1.500%
1.500%
2.02%
0.573%
1.600%
1.600%
0.07%
0.689%
1.700%
1.700%
-1.88%
0.806%
1.800%
1.800%
-3.83%
0.922%
1.900%
1.900%
-5.78%

w2
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
42.38%
42.16%
46.59%
51.26%
55.93%
60.60%
65.27%
69.94%
74.61%
79.28%

w3
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.09%
8.06%
6.95%
5.84%
4.73%
3.62%
2.51%
1.40%
0.30%

w4
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
38.92%
39.15%
37.48%
35.87%
34.26%
32.65%
31.04%
29.43%
27.82%
26.20%

B) FRONTERA EFICIENTE SIN VENTA EN CORTO

Sin venta en corto w>0

Num.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

Desv. Estandar Rend. True Rend. Esp T

0.000%
1.109%
0.000%
0.000%
1.109%
0.100%
0.000%
1.109%
0.200%
0.000%
1.109%
0.300%
0.000%
1.109%
0.400%
0.000%
1.109%
0.500%
0.000%
1.109%
0.600%
0.000%
1.109%
0.700%
0.000%
1.109%
0.800%
0.000%
1.109%
0.900%
0.000%
1.109%
1.000%
0.000%
1.109%
1.100%
0.106%
1.200%
1.200%
0.223%
1.300%
1.300%
0.339%
1.400%
1.400%
0.456%
1.500%
1.500%
0.573%
1.600%
1.600%
0.696%
1.700%
1.700%
0.834%
1.800%
1.800%
0.986%
1.875%
1.900%

w1
9.64%
9.64%
9.64%
9.64%
9.64%
9.64%
9.64%
9.64%
9.64%
9.64%
9.64%
9.64%
7.87%
5.92%
3.97%
2.02%
0.07%
0.00%
0.00%
0.00%

w2
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
42.35%
46.59%
51.26%
55.93%
60.60%
65.27%
75.72%
88.00%
100.00%

w3
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
9.06%
8.06%
6.95%
5.84%
4.73%
3.62%
1.50%
0.00%
0.00%

w4
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
38.95%
37.48%
35.87%
34.26%
32.65%
31.04%
22.78%
12.00%
0.00%

C) FRONTERA EFICIENTE SIN VENTA EN CORTO CON: 0.1 < Wi < 0.3

Num. Desv. Estandar Rend. True Rend. Esp T

1
0.744%
0.515%
0.000%
2
0.744%
0.515%
0.100%
3
0.744%
0.515%
0.200%
4
0.744%
0.515%
0.300%
5
0.744%
0.515%
0.400%
6
0.744%
0.515%
0.500%
7
1.072%
0.600%
0.600%
8
1.814%
0.698%
0.700%
9
1.814%
0.698%
0.800%
10
1.814%
0.698%
0.900%
11
1.814%
0.698%
1.000%
12
1.814%
0.698%
1.100%
13
1.814%
0.698%
1.200%
14
1.814%
0.698%
1.300%
15
1.814%
0.698%
1.400%
16
1.814%
0.698%
1.500%
17
1.814%
0.698%
1.600%
18
1.814%
0.698%
1.700%
19
1.814%
0.698%
1.800%
20
1.814%
0.698%
1.900%
21
1.814%
0.698%
2.000%
22
1.814%
0.698%
2.100%
23
1.814%
0.698%
2.200%
24
1.814%
0.698%
2.300%
25
1.814%
0.698%
2.400%
26
1.814%
0.698%
2.500%
27
1.814%
0.698%
2.600%
28
1.814%
0.698%
2.700%
29
1.814%
0.698%
2.800%
30
1.814%
0.698%
2.900%

w1
25.23%
25.23%
25.23%
25.23%
25.23%
25.23%
18.13%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%
10.00%

w2
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%

w3
14.77%
14.77%
14.77%
14.77%
14.77%
14.77%
21.87%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%

w4
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%
30.00%