A B

32% 14%
14% 18%
17% 16%
8% 20%
12% 12%
6% 15%
16% 10%

Desviacion Estandar
8.50% 3.42%
Desviacion Estandar para datos con probabilidades
Activo A
Pr R R*Pr R-E(R') [R-E(R')] [R-E(R')]2Pr
Auge 30% 100% 30% 85.000% 72% 0.2168
Normal 40% 15% 6% 0.000% 0% -
Recesion 30% -70% -21% ### 72% 0.2168
SUMA ER 15% 0.4335
Desviacion estandar 65.84%

Activo B
Pr R R*Pr R-E(R') [R-E(R')] [R-E(R')]2Pr
Auge 30% 20% 6% 5.000% 0% 0.0008
Normal 40% 15% 6% 0.000% 0% -
Recesion 30% 10% 3% -5.000% 0% 0.0007
SUMA ER 15% 0.0015
Desviacion estandar 3.87%
 W 0.5 0.5 100% RenA RenB
AO A B Rentd cartera Ra-E(Ra) Rb-E(Rb)
2010 0.12 0.2 0.16 -0.06333 -0.07000
2011 0.15 0.26 0.205 -0.03333 -0.01000
2012 0.15 0.36 0.255 -0.03333 0.09000
2013 0.14 0.24 0.19 -0.04333 -0.03000
2014 0.16 0.12 0.14 -0.02333 -0.15000
2015 0.18 0.19 0.185 -0.00333 -0.08000
2016 0.2 0.25 0.225 0.01667 -0.02000
cov ab
correlacion
E(R) 0.18333 0.27000 0.22667
riesgo Desv. Estan. 0.02628 0.07403 0.03867 varianzaP

CV 0.14333 0.27420 0.17060

W 0.5 0.5 100%

AO A B Rentd cartera
2010 12 % 20 % 16
2011 15 % 26 %
2012 15 % 36 %
2013 14 % 24 %
2014 16 % 12 %
2015 18 % 19 %
2016 20 % 25 %
 W 0.5 0.5 100% COV(ra,rb)
RenA*RenB AO A C Rentd cartera
0.00443 2010 12% 18% 15%
0.00033 2011 15% 13% 14%
-0.00300 2012 15% 12% 14%
0.00130 2013 14% 14% 14%
0.00350 2014 16% 16% 16%
0.00027 2015 18% 15% 17%
-0.00033 2016 20% 13% 17%
0.0010833
0.5568775859
E(R) 16% 14% 15%
0.04565659 Desv. Estan. 3% 2% 1%

CV 0.17 0.14 0.08

COV(ra,rb)
W(a) 0.5 0.25
W(b) 0.5 0.25

Desv.(a) 22.6 510.76

Desv.(b) 22.6 510.76

P(ab) 1 510.76 22.60

P(ab) -1 0 -
P(ab) 0 255.38 15.98
P(ab) 0.67 426.4846 20.65
P(ab) -0.67 84.2754 9.18