423466314.

xls

Optimización de portafolios por el método de Markowitz

Con este procedimiento se pretende elegir la proporción óptima de activos del portafolio I, por medio de minimización del ri
a un rendimiento deseado del portafolio.

BSUD ALUA FRAN GGAL ACIN Total

WEIGHTS/PROPORCI 0.00% 0.00% 0.00% 0.00% 100.00% 100.00%
RETORNO ESPERADO 0.05% -0.14% -0.16% -0.17% 0.19%

MATRIX DE COVARIANZAS
BSUD ALUA FRAN GGAL ACIN
BSUD 0.04% 0.00% 0.00% 0.00% 0.01%
ALUA 0.00% 0.03% 0.03% 0.03% 0.03%
FRAN 0.00% 0.03% 0.06% 0.05% 0.04%
GGAL 0.00% 0.03% 0.05% 0.06% 0.04%
ACIN 0.01% 0.03% 0.04% 0.04% 0.06%

VARIANZA C. 0.00% 0.00% 0.00% 0.00% 0.06%

RETORNO C. 0.00% 0.00% 0.00% 0.00% 0.19%

Efficient Frontier

0.16

0.14

0.12
Return

0.1

0.08

0.06
0.002 0.004 0.006 0.008 0.01 0.012 0.014 0.016 0.018 0.02
Variance

Page 1
 423466314.xls

método de Markowitz
r medio de minimización del ri RETORNO DESE 14.75%

Al procesar, se ejecuta un
programa que elije la mejor
combinación de minimización
del riesgo al retorno deseado
por medio de cambios en los
weights del portafolio

RETORNO Pi 0.19%
VARIANZA 0.0005561 Portfolio Weights es el término
DESV.EST. 2.36% americano asociado a la
proporción de cada activo dentro
del total del portafolio. Significa
la cantidad de acciones de cada
empresa dentro del total de n
0.1 0.00303305 acciones del portafolio i.
0.1025 0.00303305 El retorno esperado así como la
0.105 0.00303305 matriz de covarianzas
0.1075 0.00303784 corresponden a la historia de los
activos en base a una serie YTD.
0.11 0.00309857
**los datos a completar están
0.1125 0.0032398
resaltados en campos
0.115 0.0035
amarillos**
0.1175 0.00388265
**EL PROGRAMA FUNCIONA
0.12 0.00438776 CON SOLVER HABILITADO EN
0.1225 0.00501531 EXCEL **
0.125 0.00576531
0.1275 0.00663776
0.13 0.00763265
0.1325 0.00875
0.135 0.0099898
0.1375 0.01135204
0.14 0.01283673
0.1425 0.01444388
0.145 0.01617347
0.1475 0.01802551

Page 2
bsud alua fran ggal acin
-0.01364278 -0.0129034 -0.02279301 -0.03593201 -0.03003229 rend.prom
-0.02503608 -0.02898754 -0.02775927 -0.02469261 -0.01846206
-0.01418463 0.00533335 0 0.00415801 0.01846206
0.01136376 -0.01069529 -0.00148258 -0.00415801 -0.00816331
-0.00566574 0.0212774 0.02346149 0.01242252 0.04016604 covar
0.02801304 0.01307208 0.01438874 0.0203673 0.02526859 bsud
0.01098912 0 -0.00142959 0.00803217 -0.01938045 alua
-0.00273598 0 -0.01877311 -0.00803217 0.00195503 fran
0.01089929 -0.01307208 0.00436364 -0.01217054 0.00195122 ggal
0.00270636 0.01307208 -0.00290698 0.00813013 -0.00390625 acin
0 0.00259404 -0.00291545 -0.01222011 0.00779731 correl
0.00269906 0 -0.00585653 -0.01237129 -0.00779731 bsud
-0.01084021 -0.00519482 -0.02227264 -0.02096513 -0.01181116 alua
0 0.00260078 0.01490341 0.00843887 0.00197824 fran
-0.00820798 -0.00782273 -0.01941809 -0.01268516 -0.01393057 ggal
0.00274349 -0.00524936 -0.00757006 0.00847463 -0.01412738 acin
0.00546449 0.00262812 0.04021391 0.0413282 0.04568818
0.0452807 0 0.00145879 0.0160646 0.03247659
0.01293679 0.00784318 -0.00584797 0 0.00562326
-0.002574 0 0.00438918 -0.00399202 -0.01696553
-0.01036279 -0.00522194 0.00145879 0 -0.00190295
-0.0104713 -0.0078844 -0.02958796 -0.00400802 0.00190295
0.00786374 0.0078844 0.03104462 0.02381065 0.01322021
0.01811175 0.00782273 0.0301098 0.01941809 0.02592738
0.01526747 -0.00520835 0.01402548 0 0.01271588
0.00754721 0.01297035 0.01383148 0.03030535 0.0561551
0.01985177 0.01280427 -0.00689183 0.0037244 0
-0.00739831 0.0025413 -0.00693965 0 -0.01201731
0.01474228 0.01761052 -0.00558661 0.01109069 -0.00172861
0.00243605 0.00745345 0.02079077 0.00732604 0.02562053
0.01449301 -0.00995033 -0.01939119 -0.02214113 -0.01016958
-0.01206287 0.00995033 0.00696867 0.00743498 0.00848182
0.00966191 0.02686364 0.01104984 0 0.02995232
0.03077166 0.00240674 -0.00412939 -0.00371058 0.04487933
0.00696867 -0.03423317 -0.02090668 -0.03019097 -0.00313972
-0.02105341 0.00248447 0.00281294 0.0189759 0.01869213
0.00471699 -0.03278982 -0.0212925 -0.01515181 -0.03135053
-0.05563708 0 0.00999295 0 0.00793026
0.00248447 0.02281468 0.03214812 0.055673 0.03873451
0.06484865 -0.03312405 -0.04214107 -0.0405212 -0.03557993
-0.03791923 0.0230484 0.02549713 0.0441248 -0.0047356
0.03559095 -0.02046107 0.00139762 -0.01085002 -0.00475814
-0.0283707 0 0.01111123 0.00724641 -0.02576632
-0.00240096 -0.01825344 0.02185879 -0.00361664 0.00812352
0 0.01825344 -0.00542007 0.01081092 -0.00649353
0.01904819 0.00772205 0.00542007 0.00714289 0.01294516
0.01405175 -0.03125254 -0.06851036 -0.04364329 -0.0310229
-0.05007005 -0.01331578 -0.04589999 -0.06132189 -0.03373001
-0.02225061 0.01859283 -0.01680712 -0.04445176 -0.03313293
0 -0.04852704 -0.03928235 -0.05085842 -0.05841076
-0.01765494 0.01643873 -0.02105341 0.0257525 0.01677579
0 0.00811912 0.00977206 -0.01279335 0.0091997
0.0076046 0.01604312 0.03346926 0.04612977 0.05695489
0.03960914 0 0.00156617 -0.0082305 0.00517689
0.00484262 -0.02416225 -0.03665749 -0.05085842 -0.02615668
-0.03440143 -0.00818558 -0.02132977 -0.04445176 0.01577596
-0.02275699 -0.00274349 -0.04754716 -0.02298952 -0.00348432
-0.01028287 -0.01104984 -0.00698083 -0.00934586 -0.02832048
-0.02088849 0 0.03103697 0.00934586 -0.00179695
0.01049878 0.03547439 0.06252036 0.05431199 0.0525515
0.01554435 -0.01078178 0.01267846 -0.00441502 -0.00684934
0.0076825 0.01612938 0.00314466 0.013187 0.02544667
0.01267444 -0.01342302 -0.04495139 -0.02655023 -0.02030527
-0.01778954 -0.00814116 0.01305076 0.01777825 0.02364975
0.01273903 0.01353201 -0.0048741 0.01746769 0.01326719
0.01007565 0.00268457 -0.01642073 -0.0043384 0.01795967
-0.00502514 -0.01894509 -0.00331675 -0.00873368 0.00323102
0 -0.01931094 0 -0.00439561 -0.00323102
-0.00252207 -0.03111991 -0.02523263 -0.02678732 -0.02291426
-0.03337922 0 -0.01027406 -0.01826535 -0.02684725
-0.02914113 -0.01447203 0 -0.00925933 -0.01542447
-0.00539085 -0.02359992 -0.02792503 -0.04276186 -0.03873724
-0.01360565 0.04094139 0.03990122 0.01923136 0.03354242
0.00818558 0.01985881 0.02020271 0.01886848 0.02739897
0.02150621 -0.01985881 -0.03390155 -0.03325722 -0.02566437
-0.01608614 0.01139613 0.03390155 0.04717856 0.02735213
0.01342302 -0.00568183 0.02143528 -0.00925933 -0.00676822
0 0.00284495 0.01296615 0.0184337 0.02183126
0.01061018 -0.0114287 -0.01787212 -0.00917438 -0.01001678
-0.00529102 0.00286944 0.00490598 -0.00461895 0.00502093
0.00792607 -0.02318944 -0.04163799 -0.01869213 -0.02707441
-0.00263505 0 0.02684725 0.01405175 0.01193535
0.01570713 0.02032 0.02936589 0.02752467 0.01011813
bsud alua fran ggal acin
0.05% -0.14% -0.16% -0.17% 0.19%

bsud alua fran ggal acin

0.04% 0.00% 0.00% 0.00% 0.01%
0.00% 0.03% 0.03% 0.03% 0.03%
0.00% 0.03% 0.06% 0.05% 0.04%
0.00% 0.03% 0.05% 0.06% 0.04%
0.01% 0.03% 0.04% 0.04% 0.06%
bsud alua fran ggal acin
1.0000 -0.0651 0.0139 0.0677 0.1485
-0.0651 1.0000 0.6592 0.7229 0.6794
0.0139 0.6592 1.0000 0.8205 0.7078
0.0677 0.7229 0.8205 1.0000 0.7635
0.1485 0.6794 0.7078 0.7635 1.0000