Activo h_B h_P β f α

1 25.00% 30.00% 0.479 4.00% 1.56%

2 50.00% 55.00% 1.141 5.70% -0.12%
3 25.00% 15.00% 1.239 5.00% -1.32%
1
μ_B 5.100%

V 1 2 3
1 0.04000 0.01850 0.02168
2 0.01850 0.09000 0.03684
3 0.02168 0.03684 0.16000

λ_T 0.005

λ_R 10
 Calculo de h_A V^(-1)α α^t V^(-1) α h_A
49.03% 0.00950 5163.62%
-5.89% -620.64%
-13.51% -1423.36%
RI 0.097442604

f_P α_P β_P σ2_P σ_P ω2_P ω_P

Portafolio P (forma normal) 5.09% 0.20% 0.957 0.0013 3.66%
Portafolio P (matrices) 5.09% 0.20% 0.957 0.04856 22.04%

f_B α_B β_B σ2_B σ_B ω2_B ω_B

Portafolio B (forma normal) 5.10% 0.00% 1.000 0.0000 0.00%
Portafolio B (matrices) 5.10% 0.00% 1.000 0.051546 22.70%

f_A α_A β_A σ2_A σ_A ω2_A ω_A

Portafolio A (forma normal) 100.00% 100.00% 0.000 105.3179 1026.25%
Portafolio A (matrices) 100.00% 100.00% 0.000 105.3179 1026.25%
 U_P VA_P
0.0506 -0.0113