Rate of return (%) Dev. from avg.(%) Square dev. From avg. Prod. Dev. Portf. proport.

ABC XYZ ABC XYZ ABC XYZ ABC

1 65.13 -22.55 45.51 -34.52 2071.34 1191.56 -1571.03 0.00

2 51.84 31.44 32.22 19.47 1038.26 379.12 627.39 0.10
3 -30.82 -6.45 -50.44 -18.42 2543.99 339.26 929.02 0.20
4 -15.13 -51.14 -34.75 -63.11 1207.42 3982.75 2192.91 0.30
5 70.63 33.78 51.01 21.81 2602.22 475.72 1112.62 0.40
6 107.82 32.95 88.20 20.98 7779.59 440.20 1850.57 0.50
7 -25.16 70.19 -44.78 58.22 2005.07 3389.68 -2607.02 0.60
8 50.48 27.63 30.86 15.66 952.46 245.27 483.33 0.70
9 -36.41 -48.79 -56.03 -60.76 3139.14 3691.66 3404.21 0.80
10 -42.20 52.63 -61.82 40.66 3821.47 1653.32 -2513.58 0.90
1.00
Avg. 19.62 11.97 0.00 0.00 2716.10 1578.85 390.84
Var. 3017.89 1754.28
Std. Dev. 54.94 41.88
Cov. 434.27
Corr coef. 0.19
Min var portf 0.3382
Optimal portf. 0.59105
Risk free 4.42

Ejercicio Elton y Gruber

(datos)

ret esp std dev cov 1;2 risk free

19.62 54.94 0.19 4.42
11.97 41.88

matriz var-cov matriz inversa R(e)-Rf

3017.89 434.27 0.0003 -0.0001 15.20
434.27 1754.28 -0.0001 0.0006 7.55

retorno std dev port opt

16.49 39.47 0.3058
Portf. proport.

XYZ mean std.dev. slope risk free

1.00 11.97 41.88 0.180188 5.23

0.90 12.73 39.11 0.212545 4.76
0.80 13.50 37.18 0.244125 6.22
0.70 14.26 36.24 0.271543 3.78
0.60 15.03 36.37 0.291622 4.43
0.50 15.79 37.55 0.302818 3.78
0.40 16.56 39.69 0.305753 3.87
0.30 17.32 42.65 0.302491 4.15
0.20 18.09 46.27 0.295380 3.99
0.10 18.85 50.40 0.286329 4.01
0.00 19.62 54.94 0.276616
4.42

0.6618 14.56 36.17 0.280201

0.4089 16.49 39.47 0.305778

Particip.
0.004579 59.11%
0.003168 40.89%
0.007748 100.00%