Periodos

Acciones
1 2 3 4 5 6
A 17.5% 21.1% 14.1% -4.2% -2.9% 20.5%
B 8.1% 5.7% 8.6% 12.1% 10.6% 4.5%

Rendimiento Riesgo Correlacion σA^2 Wa

Accion
μ σ þ 0.0110 Wa
A 12.12% 10.49% -0.723 -0.0027 Wa
B 8.98% 3.59% 0.0027 Wa
Rf 7.15% 0 Wa

CARTERA DE UN ACTIVO RIESGOSO Y OTRO SIN RIESGO

A y Rf Estructura μ de A y Rf Riesgo de AyRF
%A 35% 8.89% 3.67%
%Rf 65%
DATOS FUNCION TABLA SEÑALA 35%(B15)
%A 35.00% 0.00% 10.00% 20.00% 30.00% 40.00%
%Rf 65.00%
Rendimiento 8.89%
Riesgo 3.67% 0.00% 1.05% 2.10% 3.15% 4.20%

1200.00%

1000.00%

800.00%

600.00%
Row 20

400.00%

200.00%

0.00%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00%

CARTERA DE UN ACTIVO RIESGOSO Y OTRO SIN RIESGO

B y Rf Estructura μ de B y Rf Riesgo de B y Rf
%B 50%
%Rf 50%
DATOS FUNCION TABLA SEÑALA 50%(B42)
%B 50.00% 0.00% 20.00% 40.00% 60.00% 80.00%
%Rf 50.00%
Rendimiento 0.00%
Riesgo 0.00%

14.00%

12.00%

10.00%

8.00%

6.00%

4.00%

2.00%

0.00%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00%

CARTERA DE UN ACTIVO RIESGOSO Y OTRO SIN RIESGO

AyB Estructura μ de A y B Riesgo de A y B
%A 50% 10.5500% 4.14%
%B 50%
DATOS FUNCION TABLA SEÑALA 35%(B68)
%A 50.00% 0.00% 10.00% 20.00% 30.00% 40.00%
%B 50.00%
Rendimiento 10.55%
Riesgo 4.14%

1200.00%

1000.00%

800.00%

μ 600.00%

Conjunto de oportunidades
400.00%

alternativas desechables
200.00%

0.00%
0.00% 2.00% 4.00% 6.00
200.00%

0.00%
0.00% 2.00% 4.00% 6.00
 7 8 9 10
18.2% -1.3% 19.8% 18.4%
12.5% 15.2% 8.0% 4.5%

σA*σB*þ Wb μ-Rf
-0.0027 Wb 4.97%
0.0013 Wb 1.83%
-0.0007 Wb 1.23% /0.011*-0.0027
0.0006 Wb 3.06% Estructura
Wb 49.703 74.71%
Wa 16.822 25.29%
66.525

50.00% 60.00% 70.00% 80.00% 90.00% 100.00%

5.25% 6.30% 7.35% 8.40% 9.44% 10.49%

 100.00% 120.00% 140.00% 160.00% 180.00% 200.00%

Row 47

% 10.00% 12.00%

50.00% 60.00% 70.00% 80.00% 90.00% 100.00%

B
AyB
A

2.00% 4.00% 6.00% 8.00% 10.00% 12.00%

2.00% 4.00% 6.00% 8.00% 10.00% 12.00%

σ
 A 17.5% 21.1% 14.1% -4.2% -2.9%
B 8.1% 5.7% 8.6% 12.1% 10.6%

Rendimiento riesgo Correlacion

μ σ þ
A(accion) 12.12% 10.49% -0.723
B (accion) 8.98% 3.59%
Rf(bonos s.) 4%

CARTERA - A y Rf
Estructura Rendimiento Riesgo
%A 35% 6.84200% 3.673%
%Rf 65%

ESCENARIO
%A 35% 0 10.0% 20.0% 30.0%
%Rf 65%
Rendimiento (μ) 6.84%
Riesgo (þ) 3.67% 0% 1% 2% 3%

1200%

1000%

800%

600%
Row 19

400%

200%

0%
0% 2% 4% 6% 8% 10% 12%

CARTERA - B y Rf
Estructura Rendimiento Riesgo
%B 50% 6.49000% 1.797%
%Rf 50%

ESCENARIO
%B 50% 0 10.0% 20.0% 30.0%
%Rf 50%
Rendimiento (μ) 6.49%
Riesgo (þ) 1.80% 0% 0% 1% 1%

1200%

1000%

800%

600%
Row 48

400%

200%

0%
0% 1% 1% 2% 2% 3% 3% 4% 4%

CARTERA - A Y B
Estructura Rendimiento Riesgo
%A 24% 9.72781% 1.96%
%B 76%

ESCENARIO
%B 24% 0 10.0% 20.0% 30.0%
%Rf 76%
Rendimiento (μ) 9.73%
Riesgo (þ) 1.96% 3.59% 2.58% 1.99% 2.19%

1200.00%

1000.00%

800.00%

600.00%
Row 77

400.00%

200.00%
800.00%

600.00%
Row 77

400.00%

200.00%

0.00%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00%
 20.5% 18.2% -1.3% 19.8% 18.4%
4.5% 12.5% 15.2% 8.0% 4.5%

40.0% 50.0% 60.0% 70.0% 80.0% 90.0% 100.0%

4% 5% 6% 7% 8% 9% 10%

Row 19

10% 12%
 40.0% 50.0% 60.0% 70.0% 80.0% 90.0% 100.0%

1% 2% 2% 3% 3% 3% 4%

Row 48

40.0% 50.0% 60.0% 70.0% 80.0% 90.0% 100.0%

3.03% 4.14% 5.35% 6.61% 7.89% 9.19% 10.49%

σA^2 Wa σA*σB*þ Wb μ-Rf

0.0110 Wa -0.0027 Wb 8.12%
-0.0027 Wa 0.0013 Wb 4.98%
0.0027 Wa -0.0007 Wb 2.01%
- Wa 0.0006 Wb 6.99%
Wb 113.52 76.18% Estructura Optima
Wa 35.49 23.82%
149.01
structura Optima