Precios Ajustados (USD) retornos mensual

Date
NKE KO AAPL
2/1/2015 48.560001 43.299999 128.460007 Probab. NKE
3/1/2015 50.165001 40.549999 124.43 1/47 3.3%
4/1/2015 49.419998 40.560001 125.150002 1/47 -1.5%
5/1/2015 50.834999 40.959999 130.279999 1/47 2.9%
6/1/2015 54.009998 39.23 125.43 1/47 6.2%
7/1/2015 57.610001 41.080002 121.300003 1/47 6.7%
8/1/2015 55.875 39.32 112.919998 1/47 -3.0%
9/1/2015 61.485001 40.119999 110.300003 1/47 10.0%
10/1/2015 65.514999 42.349998 119.5 1/47 6.6%
11/1/2015 66.139999 42.619999 118.300003 1/47 1.0%
12/1/2015 62.5 42.959999 105.260002 1/47 -5.5%
1/1/2016 62.009998 42.919998 97.339996 1/47 -0.8%
2/1/2016 61.59 43.130001 96.690002 1/47 -0.7%
3/1/2016 61.470001 46.389999 108.989998 1/47 -0.2%
4/1/2016 58.939999 44.799999 93.739998 1/47 -4.1%
5/1/2016 55.220001 44.599998 99.860001 1/47 -6.3%
6/1/2016 55.200001 45.330002 95.599998 1/47 0.0%
7/1/2016 55.5 43.630001 104.209999 1/47 0.5%
8/1/2016 57.639999 43.43 106.099998 1/47 3.9%
9/1/2016 52.650002 42.32 113.050003 1/47 -8.7%
10/1/2016 50.18 42.400002 113.540001 1/47 -4.7%
11/1/2016 50.07 40.349998 110.519997 1/47 -0.2%
12/1/2016 51.720001 42 115.82 1/47 3.3%
1/1/2017 52.900002 41.57 121.349998 1/47 2.3%
2/1/2017 57.16 41.959999 136.990005 1/47 8.1%
3/1/2017 55.73 42.439999 143.660004 1/47 -2.5%
4/1/2017 55.41 43.150002 143.649994 1/47 -0.6%
5/1/2017 52.990002 45.470001 152.759995 1/47 -4.4%
6/1/2017 59 44.849998 144.020004 1/47 11.3%
7/1/2017 59.049999 45.84 148.729996 1/47 0.1%
8/1/2017 52.810001 45.549999 164 1/47 -10.6%
9/1/2017 51.849998 45.009998 154.119995 1/47 -1.8%
10/1/2017 54.990002 45.98 169.039993 1/47 6.1%
11/1/2017 60.419998 45.77 171.850006 1/47 9.9%
12/1/2017 62.549999 45.880001 169.229996 1/47 3.5%
1/1/2018 68.220001 47.59 167.429993 1/47 9.1%
2/1/2018 67.029999 43.220001 178.119995 1/47 -1.7%
3/1/2018 66.440002 43.43 167.779999 1/47 -0.9%
4/1/2018 68.389999 43.209999 165.259995 1/47 2.9%
5/1/2018 71.800003 43 186.869995 1/47 5.0%
6/1/2018 79.68 43.860001 185.110001 1/47 11.0%
7/1/2018 76.910004 46.630001 190.289993 1/47 -3.5%
8/1/2018 82.199997 44.57 227.630005 1/47 6.9%
 9/1/2018 84.720001 46.189999 225.740005 1/47 3.1%
10/1/2018 75.040001 47.880001 218.860001 1/47 -11.4%
11/1/2018 75.120003 50.400002 178.580002 1/47 0.1%
12/1/2018 74.139999 47.349998 157.740005 1/47 -1.3%
1/1/2019 81.879997 48.130001 166.440002 1/47 10.4%

Retorno esperado

Varianza

Desviación estándar

covarianza(NKE & KO) 0.0157%

covarianza(NKE & AAPL) 0.0539%
covarianza(KO & AAPL) 0.0212%

correlacion(NKE & KO) 8.1788%

correlacion(NKE & AAPL) 13.1492%
correlacion(KO & AAPL) 8.2028%

Portafolio de 2 activos
Retorno esperado del portafolio
WA 50.0% NKE
WB 50.0% KO R p  w A R A  wB R B
100.0%
Retorno esperado p {50% NKE; 50%KO}

Portafolio de partes iguales Riesgo del portafolio

 p  w A2  2
A  w B2  2
B 
0.5 0.5

NKE KO
 w A * w A *  A, A  w A * w B *  A, B
  w A * w A *  A, A  w A * w B *  A, B
NKE 0.0761% 0.0039%

 w A * wB *  A, B  w B * w B *  B ,B
KO 0.0039% 0.0303%

Portafolio de mínimo riesgo

Portafolio de mínimo riesgo

0.3233925228

0.6766074772

WA*= 26.76% NKE

WB*= 73.24% KO
100.00%

NKE KO

 w A * w A *  A, A  w A * w B *  A, B NKE 0.0218% 0.0031%

 w A * w B *  A, B  w B * w B *  B ,B
KO 0.0031% 0.0650%
 Portafolio de máximo desempeño
Portafolio de máximo desempeño

WA*= 69.0%
0.2686115054 WB*= 31.0%
100.0%
0.7313884946

NKE KO
 w A * w A *  A, A  w A * w B *  A, B
NKE 0.1447% 0.0034%

 w A * wB *  A, B  w B * w B *  B ,B
KO 0.0034% 0.0117%
retornos mensuales

KO AAPL INTEGRANTES
-6.4% -3.1% DANIEL AYQUIPA TAIPE
0.0% 0.6% SHAYLA AZURIN CABALLERO
1.0% 4.1% KELLY REINOSO ZEDANO
-4.2% -3.7%
4.7% -3.3%
-4.3% -6.9%
2.0% -2.3%
5.6% 8.3%
0.6% -1.0%
0.8% -11.0%
-0.1% -7.5%
0.5% -0.7%
7.6% 12.7%
-3.4% -14.0%
-0.4% 6.5%
1.6% -4.3%
-3.8% 9.0%
-0.5% 1.8%
-2.6% 6.6%
0.2% 0.4%
-4.8% -2.7%
4.1% 4.8%
-1.0% 4.8%
0.9% 12.9%
1.1% 4.9%
1.7% 0.0%
5.4% 6.3%
-1.4% -5.7%
2.2% 3.3%
-0.6% 10.3%
-1.2% -6.0%
2.2% 9.7%
-0.5% 1.7%
0.2% -1.5%
3.7% -1.1%
-9.2% 6.4%
0.5% -5.8%
-0.5% -1.5%
-0.5% 13.1%
2.0% -0.9%
6.3% 2.8%
-4.4% 19.6%
 3.6% -0.8%
3.7% -3.0%
5.3% -18.4%
-6.1% -11.7%
1.6% 5.5%

1.3% 0.3% 0.8%

0.30% 0.12% 0.55%

ión estándar 5.52% 3.48% 7.43%

El retorno esperado del

portafolio es el promedio
ponderado de los retornos
el portafolio

{50% NKE; 50%KO} 0.78%

 2
A  w B2  2
B  2 w A w B A ,B

Varianza 0.1142%
Desv. Est. 3.38%

El riesgo del portafolio NO es el

promedio de los riesgos
 El riesgo del portafolio NO es el
promedio de los riesgos

Desempeño
portafolio 0.23

Retorno 0.55%

Varianza 0.0929%
Desv. Est. 3.05%

Desempeño
portafolio 0.18
o desempeño

NKE
KO

Retorno 0.96%

Varianza 0.1631%
Desv. Est. 4.04%

Desempeño
portafolio 0.24