Tipos de cambio (pesos por dólar)

1. Dólar
Periodo observado
Aug.1982 57.80 Retorno Normalidad
Sep.1982 63.04 9.06% 0.99964293
Oct.1982 66.27 5.11% 0.96436182
Nov.1982 69.19 4.40% 0.93562348
Dec.1982 72.39 4.63% 0.94647455
Jan.1983 74.04 2.28% 0.74884314
Feb.1983 76.38 3.16% 0.84665738
Mar.1983 74.48 -2.50% 0.10735287
Apr.1983 73.69 -1.06% 0.25244393
May.1983 75.10 1.92% 0.70066037
Jun.1983 77.03 2.57% 0.78434159
Jul.1983 78.25 1.58% 0.65183869
Aug.1983 79.55 1.66% 0.66323355
Sep.1983 81.24 2.13% 0.72903985
Oct.1983 83.34 2.58% 0.78539927
Nov.1983 85.29 2.34% 0.75628204
Dec.1983 87.07 2.08% 0.7228875
Jan.1984 87.82 0.86% 0.54073626
Feb.1984 88.12 0.35% 0.45891989
Mar.1984 88.20 0.08% 0.41754668
Apr.1984 88.55 0.40% 0.46679673
May.1984 90.19 1.86% 0.69160773
Jun.1984 91.13 1.04% 0.56954936
Jul.1984 91.89 0.83% 0.53586998
Aug.1984 92.69 0.87% 0.54242397
Sep.1984 100.94 8.91% 0.99955118
Oct.1984 116.39 15.30% 1
Nov.1984 119.58 2.74% 0.80372525
Dec.1984 126.23 5.56% 0.97635959
Jan.1985 128.98 2.18% 0.73511207
Feb.1985 131.84 2.22% 0.74088238
Mar.1985 145.69 10.50% 0.9999626
Apr.1985 148.76 2.10% 0.7257264
May.1985 152.15 2.28% 0.74842301
Jun.1985 155.06 1.91% 0.69979451
Jul.1985 170.81 10.16% 0.99993344
Aug.1985 176.49 3.32% 0.8616054
Sep.1985 178.19 0.96% 0.5570557
Oct.1985 179.19 0.56% 0.49320655
Nov.1985 180.68 0.83% 0.53621764
Dec.1985 182.48 0.99% 0.56165948
Jan.1986 184.80 1.27% 0.60503977
Feb.1986 186.74 1.05% 0.57085445
Mar.1986 189.22 1.33% 0.61360292
Apr.1986 189.19 -0.01% 0.40202331
May.1986 187.93 -0.67% 0.30541132
Jun.1986 188.79 0.46% 0.47628137
Jul.1986 190.36 0.83% 0.5360872
Aug.1986 194.46 2.16% 0.73237129
Sep.1986 198.32 1.99% 0.70981598
Oct.1986 199.73 0.71% 0.51661754
Nov.1986 201.95 1.11% 0.5802242
Dec.1986 203.67 0.85% 0.53941946
Jan.1987 204.54 0.43% 0.47168974
Feb.1987 206.01 0.72% 0.5175225
Mar.1987 207.82 0.88% 0.54344795
Apr.1987 211.49 1.77% 0.67922824
May.1987 212.54 0.50% 0.48252692
Jun.1987 218.18 2.65% 0.79360549
Jul.1987 224.13 2.73% 0.80190542
Aug.1987 224.58 0.20% 0.43602543
Sep.1987 225.15 0.25% 0.44394488
Oct.1987 229.27 1.83% 0.68821341
Nov.1987 233.83 1.99% 0.70959834
Dec.1987 235.34 0.65% 0.50651456
Jan.1988 243.73 3.56% 0.88180539
Feb.1988 240.00 -1.53% 0.1964821
Mar.1988 243.33 1.39% 0.62274471
Apr.1988 241.88 -0.60% 0.31540122
May.1988 245.15 1.36% 0.61790429
Jun.1988 248.31 1.29% 0.60757672
Jul.1988 248.32 0.00% 0.40480202
Aug.1988 245.59 -1.10% 0.24787785
Sep.1988 245.67 0.03% 0.40945155
Oct.1988 247.09 0.58% 0.49536182
Nov.1988 246.44 -0.26% 0.36388443
Dec.1988 244.63 -0.73% 0.29629698
Jan.1989 247.11 1.01% 0.5645522
Feb.1989 245.84 -0.51% 0.32765432
Mar.1989 249.64 1.54% 0.64638483
Apr.1989 251.36 0.69% 0.51310005
May.1989 252.44 0.43% 0.47215443
Jun.1989 261.66 3.65% 0.88854596
Jul.1989 272.81 4.26% 0.92831146
Aug.1989 276.65 1.41% 0.62580293
Sep.1989 280.15 1.27% 0.6041351
Oct.1989 282.78 0.94% 0.55319859
Nov.1989 288.42 1.99% 0.71058558
Dec.1989 294.59 2.14% 0.73015053
Jan.1990 296.76 0.74% 0.52105012
Feb.1990 292.46 -1.45% 0.20581216
Mar.1990 296.66 1.44% 0.63020616
Apr.1990 296.41 -0.08% 0.39123339
May.1990 296.97 0.19% 0.4338213
Jun.1990 296.79 -0.06% 0.39485628
Jul.1990 296.67 -0.04% 0.39789037
Aug.1990 303.44 2.28% 0.74906631
Sep.1990 308.35 1.62% 0.65726201
Oct.1990 312.49 1.34% 0.61600548
Nov.1990 326.86 4.60% 0.94500841
Dec.1990 334.98 2.48% 0.77363271
Jan.1991 337.23 0.67% 0.51071667
Feb.1991 337.53 0.09% 0.41796498
Mar.1991 340.24 0.80% 0.53160024
Apr.1991 340.28 0.01% 0.4064274
May.1991 339.95 -0.10% 0.38920756
Jun.1991 344.89 1.45% 0.63275029
Jul.1991 348.72 1.11% 0.58000897
Aug.1991 350.89 0.62% 0.50278983
Sep.1991 355.61 1.34% 0.61621429
Oct.1991 359.06 0.97% 0.55822258
Nov.1991 364.26 1.45% 0.6318643
Dec.1991 371.93 2.11% 0.72586897
Jan.1992 369.75 -0.59% 0.3169318
Feb.1992 347.86 -5.92% 0.00452172
Mar.1992 348.34 0.14% 0.42587261
Apr.1992 346.30 -0.59% 0.31672671
May.1992 346.56 0.08% 0.41612371
Jun.1992 355.00 2.43% 0.76774593
Jul.1992 361.25 1.76% 0.67806388
Aug.1992 368.86 2.11% 0.72621187
Sep.1992 376.04 1.94% 0.70389489
Oct.1992 373.10 -0.78% 0.28965894
Nov.1992 377.63 1.21% 0.5962437
Dec.1992 380.22 0.68% 0.51266883
Jan.1993 383.93 0.98% 0.558829
Feb.1993 387.91 1.04% 0.56871275
Mar.1993 397.22 2.40% 0.76354565
Apr.1993 401.19 1.00% 0.56279278
May.1993 404.98 0.94% 0.55396605
Jun.1993 403.30 -0.41% 0.3416256
Jul.1993 404.79 0.37% 0.46251503
Aug.1993 407.66 0.71% 0.51633229
Sep.1993 408.19 0.13% 0.42473545
Oct.1993 412.59 1.08% 0.57484218
Nov.1993 412.50 -0.02% 0.40109449
Dec.1993 425.73 3.21% 0.85109976
Jan.1994 430.45 1.11% 0.5794698
Feb.1994 428.69 -0.41% 0.34267826
Mar.1994 430.45 0.41% 0.46895746
Apr.1994 424.47 -1.39% 0.21243936
May.1994 424.70 0.05% 0.41262441
Jun.1994 420.68 -0.95% 0.2673722
Jul.1994 420.49 -0.04% 0.39753557
Aug.1994 419.43 -0.25% 0.36563946
Sep.1994 414.87 -1.09% 0.24913557
Oct.1994 412.21 -0.64% 0.30917109
Nov.1994 413.45 0.30% 0.4514052
Dec.1994 402.23 -2.71% 0.09209615
Jan.1995 405.78 0.88% 0.5440937
Feb.1995 412.14 1.57% 0.649891
Mar.1995 410.46 -0.41% 0.34257293
Apr.1995 394.33 -3.93% 0.03481864
May.1995 377.17 -4.35% 0.02369085
Jun.1995 373.59 -0.95% 0.2668853
Jul.1995 378.07 1.20% 0.5939075
Aug.1995 387.27 2.44% 0.7679223
Sep.1995 394.56 1.88% 0.69525294
Oct.1995 406.62 3.06% 0.83648454
Nov.1995 412.31 1.40% 0.62472519
Dec.1995 408.98 -0.81% 0.28609526
Jan.1996 408.53 -0.11% 0.38727892
Feb.1996 410.97 0.60% 0.49847872
Mar.1996 411.55 0.14% 0.42637578
Apr.1996 408.42 -0.76% 0.29265238
May.1996 406.23 -0.54% 0.32379709
Jun.1996 409.85 0.89% 0.545378
Jul.1996 410.72 0.21% 0.43776686
Aug.1996 411.10 0.09% 0.41862992
Sep.1996 411.84 0.18% 0.43259828
Oct.1996 415.55 0.90% 0.54698787
Nov.1996 420.03 1.08% 0.57491362
Dec.1996 422.41 0.57% 0.49382796
Jan.1997 423.79 0.33% 0.45574475
Feb.1997 416.19 -1.79% 0.16858088
Mar.1997 414.05 -0.51% 0.32717286
Apr.1997 417.58 0.85% 0.5392834
May.1997 418.61 0.25% 0.44291483
Jun.1997 417.42 -0.29% 0.36082661
Jul.1997 416.61 -0.19% 0.37466998
Aug.1997 414.85 -0.42% 0.34061963
Sep.1997 414.90 0.01% 0.40606264
Oct.1997 414.41 -0.12% 0.38628352
Nov.1997 424.96 2.54% 0.78106599
Dec.1997 438.29 3.14% 0.84446324
Jan.1998 453.39 3.45% 0.87205026
Feb.1998 448.53 -1.07% 0.25116023
Mar.1998 452.53 0.89% 0.54564059
Apr.1998 453.74 0.27% 0.44629945
May.1998 453.42 -0.07% 0.39317834
Jun.1998 456.19 0.61% 0.50097485
Jul.1998 464.64 1.85% 0.69117597
Aug.1998 471.26 1.42% 0.62828771
Sep.1998 470.50 -0.16% 0.37967926
Oct.1998 463.60 -1.47% 0.20364269
Nov.1998 463.26 -0.07% 0.39281155
Dec.1998 472.39 1.97% 0.70759951
Jan.1999 475.68 0.70% 0.51469924
Feb.1999 493.45 3.74% 0.89474051
Mar.1999 492.48 -0.20% 0.37435707
Apr.1999 482.33 -2.06% 0.14292793
May.1999 485.04 0.56% 0.49311284
Jun.1999 502.17 3.53% 0.87909623
Jul.1999 516.74 2.90% 0.82091028
Aug.1999 513.03 -0.72% 0.2983968
Sep.1999 524.55 2.24% 0.74402175
Oct.1999 537.97 2.56% 0.78274312
Nov.1999 543.71 1.07% 0.5733956
Dec.1999 538.22 -1.01% 0.25902987
Jan.2000 520.45 -3.30% 0.05899029
Feb.2000 512.85 -1.46% 0.20436518
Mar.2000 504.38 -1.65% 0.18327646
Apr.2000 508.10 0.74% 0.52106626
May.2000 521.66 2.67% 0.79555102
Jun.2000 529.74 1.55% 0.64694011
Jul.2000 542.75 2.46% 0.77041725
Aug.2000 550.99 1.52% 0.64278694
Sep.2000 565.90 2.70% 0.79947603
Oct.2000 567.84 0.34% 0.45836389
Nov.2000 574.60 1.19% 0.59243448
Dec.2000 574.63 0.01% 0.4051703
Jan.2001 571.12 -0.61% 0.31324073
Feb.2001 563.13 -1.40% 0.21136612
Mar.2001 587.79 4.38% 0.93442528
Apr.2001 598.63 1.84% 0.68998199
May.2001 604.48 0.98% 0.55914775
Jun.2001 616.07 1.92% 0.70028244
Jul.2001 656.46 6.55% 0.99135081
Aug.2001 673.70 2.63% 0.79073574
Sep.2001 681.24 1.12% 0.58141314
Oct.2001 708.10 3.94% 0.90906835
Nov.2001 689.40 -2.64% 0.09705278
Dec.2001 669.14 -2.94% 0.07808053
Jan.2002 667.28 -0.28% 0.3619923
Feb.2002 678.84 1.73% 0.6738311
Mar.2002 663.26 -2.29% 0.12305514
Apr.2002 650.82 -1.88% 0.16042378
May.2002 653.91 0.47% 0.47906966
Jun.2002 673.77 3.04% 0.83469467
Jul.2002 696.33 3.35% 0.86388006
Aug.2002 702.30 0.86% 0.54017005
Sep.2002 726.98 3.51% 0.87767136
Oct.2002 742.32 2.11% 0.72639583
Nov.2002 709.48 -4.42% 0.02210276
Dec.2002 701.95 -1.06% 0.25250067
Jan.2003 722.48 2.92% 0.82326178
Feb.2003 745.21 3.15% 0.84538463
Mar.2003 743.28 -0.26% 0.36475131
Apr.2003 718.25 -3.37% 0.05598363
May.2003 703.58 -2.04% 0.14468953
Jun.2003 709.18 0.80% 0.53049837
Jul.2003 701.14 -1.13% 0.24322783
Aug.2003 703.77 0.38% 0.46335804
Sep.2003 675.44 -4.03% 0.0319646
Oct.2003 646.07 -4.35% 0.02374302
Nov.2003 625.47 -3.19% 0.06451147
Dec.2003 602.90 -3.61% 0.04595995
Jan.2004 573.64 -4.85% 0.01448111
Feb.2004 584.31 1.86% 0.69203074
Mar.2004 603.91 3.36% 0.86439313
Apr.2004 608.19 0.71% 0.51636806
May.2004 635.76 4.53% 0.94196157
Jun.2004 643.50 1.22% 0.59671052
Jul.2004 632.39 -1.73% 0.17555152
Aug.2004 635.93 0.56% 0.49268921
Sep.2004 616.55 -3.05% 0.07195484
Oct.2004 607.28 -1.50% 0.19936068
Nov.2004 596.72 -1.74% 0.17418442
Dec.2004 576.17 -3.44% 0.05262125
Jan.2005 574.12 -0.36% 0.35028793
Feb.2005 573.58 -0.09% 0.38993732
Mar.2005 586.48 2.25% 0.7445772
Apr.2005 580.46 -1.03% 0.25678052
May.2005 578.31 -0.37% 0.34822322
Jun.2005 585.47 1.24% 0.6000442
Jul.2005 575.77 -1.66% 0.18260344
Aug.2005 546.61 -5.06% 0.01166057
Sep.2005 536.70 -1.81% 0.16666466
Oct.2005 535.50 -0.22% 0.36999157
Nov.2005 529.88 -1.05% 0.25407887
Dec.2005 514.33 -2.93% 0.07834862
Jan.2006 524.48 1.97% 0.70782317
Feb.2006 525.70 0.23% 0.44096778
Mar.2006 528.77 0.58% 0.49648705
Apr.2006 517.33 -2.16% 0.13391494
May.2006 520.79 0.67% 0.51037781
Jun.2006 542.46 4.16% 0.9225179
Jul.2006 540.62 -0.34% 0.35277736
Aug.2006 538.53 -0.39% 0.34565882
Sep.2006 538.65 0.02% 0.40793837
Oct.2006 530.95 -1.43% 0.2078482
Nov.2006 527.44 -0.66% 0.30600118
Dec.2006 527.58 0.03% 0.40859188
Jan.2007 540.51 2.45% 0.76979761
Feb.2007 542.27 0.32% 0.45535152
Mar.2007 538.49 -0.70% 0.30119881
Apr.2007 532.30 -1.15% 0.24139775
May.2007 522.02 -1.93% 0.15501345
Jun.2007 526.72 0.90% 0.54707072
Jul.2007 519.80 -1.31% 0.221432
Aug.2007 522.92 0.60% 0.49913599
Sep.2007 516.91 -1.15% 0.24131065
Oct.2007 501.44 -2.99% 0.07502158
Nov.2007 506.95 1.10% 0.57822154
Dec.2007 499.28 -1.51% 0.19826752
Jan.2008 480.90 -3.68% 0.0431719
Feb.2008 467.22 -2.84% 0.08376447
Mar.2008 442.94 -5.20% 0.01014807
Apr.2008 446.43 0.79% 0.52917957
May.2008 470.10 5.30% 0.96985822
Jun.2008 493.61 5.00% 0.96069744
Jul.2008 502.24 1.75% 0.6762428
Aug.2008 516.70 2.88% 0.81851991
Sep.2008 530.17 2.61% 0.78833082
Oct.2008 618.39 16.64% 1
Nov.2008 651.51 5.35% 0.97128163
Dec.2008 649.32 -0.34% 0.35324065
Jan.2009 623.01 -4.05% 0.0312185
Feb.2009 606.00 -2.73% 0.09102566
Mar.2009 592.93 -2.16% 0.13462037
Apr.2009 583.18 -1.65% 0.18394904
May.2009 565.72 -2.99% 0.07495924
Jun.2009 553.08 -2.23% 0.12799622
Jul.2009 540.42 -2.29% 0.12345189
Aug.2009 546.88 1.20% 0.5934213
Sep.2009 549.07 0.40% 0.46724454
Oct.2009 545.83 -0.59% 0.31628779
Nov.2009 507.78 -6.97% 0.00121796
Dec.2009 501.45 -1.25% 0.2293437
Jan.2010 500.66 -0.16% 0.38018535
Feb.2010 532.56 6.37% 0.98945852
Mar.2010 523.16 -1.76% 0.17158947
Apr.2010 520.62 -0.49% 0.33131825
May.2010 533.21 2.42% 0.76568756
Jun.2010 536.67 0.65% 0.50700725
Jul.2010 531.72 -0.92% 0.27062361
Aug.2010 509.32 -4.21% 0.02696664
Sep.2010 493.93 -3.02% 0.07337089
Oct.2010 484.04 -2.00% 0.14839219
Nov.2010 482.32 -0.36% 0.35021981
Dec.2010 474.78 -1.56% 0.19284004
Jan.2011 489.44 3.09% 0.83974502
Feb.2011 475.69 -2.81% 0.08595353
Mar.2011 479.65 0.83% 0.53624806
Apr.2011 471.32 -1.74% 0.17434182
May.2011 467.73 -0.76% 0.29218477
Jun.2011 469.41 0.36% 0.4608927
Jul.2011 462.94 -1.38% 0.21359727
Aug.2011 466.79 0.83% 0.53619112
Sep.2011 483.69 3.62% 0.88620323
Oct.2011 511.74 5.80% 0.98114309
Nov.2011 508.44 -0.65% 0.30830192
Dec.2011 517.17 1.72% 0.67188025
Jan.2012 501.34 -3.06% 0.07119797
Feb.2012 481.49 -3.96% 0.03390291
Mar.2012 485.40 0.81% 0.53286083
Apr.2012 486.00 0.12% 0.42377165
May.2012 497.09 2.28% 0.74873757
Jun.2012 505.63 1.72% 0.67190014
Jul.2012 491.93 -2.71% 0.09247604
Aug.2012 480.99 -2.22% 0.12883544
Sep.2012 474.97 -1.25% 0.22871621
Oct.2012 475.36 0.08% 0.4171331
Nov.2012 480.57 1.10% 0.57774661
Dec.2012 477.13 -0.72% 0.29850075
Jan.2013 472.67 -0.93% 0.26890772
Feb.2013 472.34 -0.07% 0.39373403
Mar.2013 472.48 0.03% 0.40891036
Apr.2013 472.14 -0.07% 0.39299421
May.2013 479.58 1.58% 0.65127009
Jun.2013 502.89 4.86% 0.95560511
Jul.2013 504.96 0.41% 0.46931773
Aug.2013 512.59 1.51% 0.64134522
Sep.2013 504.57 -1.56% 0.19269361
Oct.2013 500.81 -0.75% 0.29439714
Nov.2013 519.25 3.68% 0.89088083
Dec.2013 529.45 1.96% 0.70669998
Jan.2014 537.03 1.43% 0.62950388
Feb.2014 554.41 3.24% 0.85372132
Mar.2014 563.84 1.70% 0.66955193
Apr.2014 554.64 -1.63% 0.18536175
May.2014 555.40 0.14% 0.42572509
Jun.2014 553.06 -0.42% 0.34067322
 Jul.2014 558.21 0.93% 0.55171814
Aug.2014 579.05 3.73% 0.89466732
Sep.2014 593.47 2.49% 0.77453222
Oct.2014 589.98 -0.59% 0.31657386
Nov.2014 592.46 0.42% 0.47049499
Dec.2014 612.92 3.45% 0.87273603
Jan.2015 620.91 1.30% 0.61003352
Feb.2015 623.62 0.44% 0.47302033
Mar.2015 628.50 0.78% 0.52840894
Apr.2015 614.73 -2.19% 0.13155935
May.2015 607.60 -1.16% 0.24001726
Jun.2015 629.99 3.69% 0.89114424
Jul.2015 650.14 3.20% 0.85015983
Aug.2015 688.12 5.84% 0.98190408
Sep.2015 691.73 0.53% 0.48720293
Oct.2015 685.31 -0.93% 0.26988048
Nov.2015 704.00 2.73% 0.80200776
Dec.2015 704.24 0.03% 0.40952207
Jan.2016 721.95 2.51% 0.77754656
Feb.2016 704.08 -2.47% 0.10896076
Mar.2016 682.07 -3.13% 0.06769039
Apr.2016 669.93 -1.78% 0.17004756
May.2016 681.87 1.78% 0.68109447
Jun.2016 681.07 -0.12% 0.38628385
Jul.2016 657.57 -3.45% 0.05230759
Aug.2016 658.89 0.20% 0.43578996
Sep.2016 668.63 1.48% 0.63659051
Oct.2016 663.92 -0.70% 0.30013829
Nov.2016 666.12 0.33% 0.45625848
Dec.2016 667.17 0.16% 0.42894053
Jan.2017 661.19 -0.90% 0.27412298
Feb.2017 643.21 -2.72% 0.09169556
Mar.2017 661.20 2.80% 0.80975738
Apr.2017 655.74 -0.83% 0.28349517
May.2017 671.54 2.41% 0.76472249
Jun.2017 665.15 -0.95% 0.26676454
Jul.2017 658.17 -1.05% 0.25395026
Aug.2017 644.24 -2.12% 0.13810187
Sep.2017 625.54 -2.90% 0.08024119
Oct.2017 629.55 0.64% 0.50557561
Nov.2017 633.77 0.67% 0.51040574
Dec.2017 636.92 0.50% 0.48287732
Jan.2018 605.53 -4.93% 0.01340749
Feb.2018 596.84 -1.44% 0.20716669
Mar.2018 603.45 1.11% 0.5795204
Apr.2018 600.55 -0.48% 0.33204544
May.2018 626.12 4.26% 0.92804184
Jun.2018 636.15 1.60% 0.65488592
Jul.2018 652.41 2.56% 0.78244699
Aug.2018 656.25 0.59% 0.49742888
Sep.2018 680.91 3.76% 0.8964233
Oct.2018 676.84 -0.60% 0.31507264
Nov.2018 677.61 0.11% 0.42207578
Dec.2018 681.99 0.65% 0.50643641
Jan.2019 677.06 -0.72% 0.29768107 900.00
1. Dólar o
Feb.2019 656.30 -3.07% 0.07095558
800.00
Mar.2019 667.68 1.73% 0.67407163
700.00
Apr.2019 667.40 -0.04% 0.39785095
May.2019 692.00 3.69% 0.89117049 600.00

Jun.2019 692.41 0.06% 0.41342676 500.00

Jul.2019 686.06 -0.92% 0.27125005 400.00
Aug.2019 713.70 4.03% 0.91463775 300.00
Sep.2019 718.44 0.66% 0.50936611
200.00
Oct.2019 721.03 0.36% 0.46099242
100.00
Nov.2019 776.53 7.70% 0.99772447
Dec.2019 770.39 -0.79% 0.28825947 0.00
2 7 2 7
Jan.2020 772.65 0.29% 0.45028417 98 98 99 99
g .1 g .1 g .1 g .1
Feb.2020 796.38 3.07% 0.8380953 Au Au Au Au Au
Mar.2020 839.38 5.40% 0.97243247
Apr.2020 853.38 1.67% 0.66468889 Reto
May.2020 821.81 -3.70% 0.04250009 20.00%

Jun.2020 793.72 -3.42% 0.05375178

Jul.2020 784.73 -1.13% 0.24344727 15.00%

Promedio 0.61%
DS 0.02 10.00%

5.00%

0.00%
15
29
43
57
71
85
99
113
127
141
155
169
183
197
1

-5.00%

Aug.2020 784.66 -10.00%

 1. Dólar observado

7 2 7 2 7 12 7
99 99 00 00 20 01
g .1 g .1 g .2 g .2 g. g .2
Au Au Au Au Au Au

Retorno

95%
90% (95%)
253

295

407
43
57
71
85
99
113
127
141
155
169
183
197
211
225
239

267
281

309
323
337
351
365
379
393

421
435
449

5%
 1. Dólar
Periodo observado
Aug.1982 57.80 Retorno
Nov.1982 69.19 4.40% Maximo 4.63%
Dec.1982 72.39 4.63% Minimo -3.45%
Jan.1983 74.04 2.28% Dif 8.08%
Feb.1983 76.38 3.16% Interval 13
Mar.1983 74.48 -2.50% Frec 0.62%
Apr.1983 73.69 -1.06%

May.1983 75.10 1.92% Lim Inf Lim Sup ni hi (Pi)

Jun.1983 77.03 2.57% 1 -3.45% -2.83% 17 4.05%
Jul.1983 78.25 1.58% 2 -2.83% -2.21% 12 2.86%
Aug.1983 79.55 1.66% 3 -2.21% -1.59% 20 4.76%
Sep.1983 81.24 2.13% 4 -1.59% -0.96% 30 7.14%
Oct.1983 83.34 2.58% 5 -0.96% -0.34% 46 10.95%
Nov.1983 85.29 2.34% 6 -0.34% 0.28% 60 14.29%
Dec.1983 87.07 2.08% 7 0.28% 0.90% 73 17.38%
Jan.1984 87.82 0.86% 8 0.90% 1.52% 48 11.43%
Feb.1984 88.12 0.35% 9 1.52% 2.15% 41 9.76%
Mar.1984 88.20 0.08% 10 2.15% 2.77% 33 7.86%
Apr.1984 88.55 0.40% 11 2.77% 3.39% 17 4.05%
May.1984 90.19 1.86% 12 3.39% 4.01% 14 3.33%
Jun.1984 91.13 1.04% 13 4.01% 4.63% 9 2.14%
Jul.1984 91.89 0.83% 420 100%
Aug.1984 92.69 0.87%
Nov.1984 119.58 2.74%
Jan.1985 128.98 2.18%
Feb.1985 131.84 2.22%
ni
Apr.1985 148.76 2.10% 80
May.1985 152.15 2.28%
Jun.1985 155.06 1.91% 70

Aug.1985 176.49 3.32% 60

Sep.1985 178.19 0.96%
50
Oct.1985 179.19 0.56%
Nov.1985 180.68 0.83% 40
Dec.1985 182.48 0.99%
30
Jan.1986 184.80 1.27%
Feb.1986 186.74 1.05% 20
Mar.1986 189.22 1.33%
10
Apr.1986 189.19 -0.01%
May.1986 187.93 -0.67% 0
0 2 4 6 8 10 12 14
Jun.1986 188.79 0.46%
Jul.1986 190.36 0.83%
Aug.1986 194.46 2.16%
Sep.1986 198.32 1.99%
Oct.1986 199.73 0.71%
Nov.1986 201.95 1.11%
Dec.1986 203.67 0.85%
Jan.1987 204.54 0.43%
Feb.1987 206.01 0.72%
Mar.1987 207.82 0.88%
Apr.1987 211.49 1.77%
May.1987 212.54 0.50%
Jun.1987 218.18 2.65%
Jul.1987 224.13 2.73%
Aug.1987 224.58 0.20%
Sep.1987 225.15 0.25%
Oct.1987 229.27 1.83%
Nov.1987 233.83 1.99%
Dec.1987 235.34 0.65%
Jan.1988 243.73 3.56%
Feb.1988 240.00 -1.53%
Mar.1988 243.33 1.39%
Apr.1988 241.88 -0.60%
May.1988 245.15 1.36%
Jun.1988 248.31 1.29%
Jul.1988 248.32 0.00%
Aug.1988 245.59 -1.10%
Sep.1988 245.67 0.03%
Oct.1988 247.09 0.58%
Nov.1988 246.44 -0.26%
Dec.1988 244.63 -0.73%
Jan.1989 247.11 1.01%
Feb.1989 245.84 -0.51%
Mar.1989 249.64 1.54%
Apr.1989 251.36 0.69%
May.1989 252.44 0.43%
Jun.1989 261.66 3.65%
Jul.1989 272.81 4.26%
Aug.1989 276.65 1.41%
Sep.1989 280.15 1.27%
Oct.1989 282.78 0.94%
Nov.1989 288.42 1.99%
Dec.1989 294.59 2.14%
Jan.1990 296.76 0.74%
Feb.1990 292.46 -1.45%
Mar.1990 296.66 1.44%
Apr.1990 296.41 -0.08%
May.1990 296.97 0.19%
Jun.1990 296.79 -0.06%
Jul.1990 296.67 -0.04%
Aug.1990 303.44 2.28%
Sep.1990 308.35 1.62%
Oct.1990 312.49 1.34%
Nov.1990 326.86 4.60%
Dec.1990 334.98 2.48%
Jan.1991 337.23 0.67%
Feb.1991 337.53 0.09%
Mar.1991 340.24 0.80%
Apr.1991 340.28 0.01%
May.1991 339.95 -0.10%
Jun.1991 344.89 1.45%
Jul.1991 348.72 1.11%
Aug.1991 350.89 0.62%
Sep.1991 355.61 1.34%
Oct.1991 359.06 0.97%
Nov.1991 364.26 1.45%
Dec.1991 371.93 2.11%
Jan.1992 369.75 -0.59%
Mar.1992 348.34 0.14%
Apr.1992 346.30 -0.59%
May.1992 346.56 0.08%
Jun.1992 355.00 2.43%
Jul.1992 361.25 1.76%
Aug.1992 368.86 2.11%
Sep.1992 376.04 1.94%
Oct.1992 373.10 -0.78%
Nov.1992 377.63 1.21%
Dec.1992 380.22 0.68%
Jan.1993 383.93 0.98%
Feb.1993 387.91 1.04%
Mar.1993 397.22 2.40%
Apr.1993 401.19 1.00%
May.1993 404.98 0.94%
Jun.1993 403.30 -0.41%
Jul.1993 404.79 0.37%
Aug.1993 407.66 0.71%
Sep.1993 408.19 0.13%
Oct.1993 412.59 1.08%
Nov.1993 412.50 -0.02%
Dec.1993 425.73 3.21%
Jan.1994 430.45 1.11%
Feb.1994 428.69 -0.41%
Mar.1994 430.45 0.41%
Apr.1994 424.47 -1.39%
May.1994 424.70 0.05%
Jun.1994 420.68 -0.95%
Jul.1994 420.49 -0.04%
Aug.1994 419.43 -0.25%
Sep.1994 414.87 -1.09%
Oct.1994 412.21 -0.64%
Nov.1994 413.45 0.30%
Dec.1994 402.23 -2.71%
Jan.1995 405.78 0.88%
Feb.1995 412.14 1.57%
Mar.1995 410.46 -0.41%
Jun.1995 373.59 -0.95%
Jul.1995 378.07 1.20%
Aug.1995 387.27 2.44%
Sep.1995 394.56 1.88%
Oct.1995 406.62 3.06%
Nov.1995 412.31 1.40%
Dec.1995 408.98 -0.81%
Jan.1996 408.53 -0.11%
Feb.1996 410.97 0.60%
Mar.1996 411.55 0.14%
Apr.1996 408.42 -0.76%
May.1996 406.23 -0.54%
Jun.1996 409.85 0.89%
Jul.1996 410.72 0.21%
Aug.1996 411.10 0.09%
Sep.1996 411.84 0.18%
Oct.1996 415.55 0.90%
Nov.1996 420.03 1.08%
Dec.1996 422.41 0.57%
Jan.1997 423.79 0.33%
Feb.1997 416.19 -1.79%
Mar.1997 414.05 -0.51%
Apr.1997 417.58 0.85%
May.1997 418.61 0.25%
Jun.1997 417.42 -0.29%
Jul.1997 416.61 -0.19%
Aug.1997 414.85 -0.42%
Sep.1997 414.90 0.01%
Oct.1997 414.41 -0.12%
Nov.1997 424.96 2.54%
Dec.1997 438.29 3.14%
Jan.1998 453.39 3.45%
Feb.1998 448.53 -1.07%
Mar.1998 452.53 0.89%
Apr.1998 453.74 0.27%
May.1998 453.42 -0.07%
Jun.1998 456.19 0.61%
Jul.1998 464.64 1.85%
Aug.1998 471.26 1.42%
Sep.1998 470.50 -0.16%
Oct.1998 463.60 -1.47%
Nov.1998 463.26 -0.07%
Dec.1998 472.39 1.97%
Jan.1999 475.68 0.70%
Feb.1999 493.45 3.74%
Mar.1999 492.48 -0.20%
Apr.1999 482.33 -2.06%
May.1999 485.04 0.56%
Jun.1999 502.17 3.53%
Jul.1999 516.74 2.90%
Aug.1999 513.03 -0.72%
Sep.1999 524.55 2.24%
Oct.1999 537.97 2.56%
Nov.1999 543.71 1.07%
Dec.1999 538.22 -1.01%
Jan.2000 520.45 -3.30%
Feb.2000 512.85 -1.46%
Mar.2000 504.38 -1.65%
Apr.2000 508.10 0.74%
May.2000 521.66 2.67%
Jun.2000 529.74 1.55%
Jul.2000 542.75 2.46%
Aug.2000 550.99 1.52%
Sep.2000 565.90 2.70%
Oct.2000 567.84 0.34%
Nov.2000 574.60 1.19%
Dec.2000 574.63 0.01%
Jan.2001 571.12 -0.61%
Feb.2001 563.13 -1.40%
Mar.2001 587.79 4.38%
Apr.2001 598.63 1.84%
May.2001 604.48 0.98%
Jun.2001 616.07 1.92%
Aug.2001 673.70 2.63%
Sep.2001 681.24 1.12%
Oct.2001 708.10 3.94%
Nov.2001 689.40 -2.64%
Dec.2001 669.14 -2.94%
Jan.2002 667.28 -0.28%
Feb.2002 678.84 1.73%
Mar.2002 663.26 -2.29%
Apr.2002 650.82 -1.88%
May.2002 653.91 0.47%
Jun.2002 673.77 3.04%
Jul.2002 696.33 3.35%
Aug.2002 702.30 0.86%
Sep.2002 726.98 3.51%
Oct.2002 742.32 2.11%
Dec.2002 701.95 -1.06%
Jan.2003 722.48 2.92%
Feb.2003 745.21 3.15%
Mar.2003 743.28 -0.26%
Apr.2003 718.25 -3.37%
May.2003 703.58 -2.04%
Jun.2003 709.18 0.80%
Jul.2003 701.14 -1.13%
Aug.2003 703.77 0.38%
Nov.2003 625.47 -3.19%
Feb.2004 584.31 1.86%
Mar.2004 603.91 3.36%
Apr.2004 608.19 0.71%
May.2004 635.76 4.53%
Jun.2004 643.50 1.22%
Jul.2004 632.39 -1.73%
Aug.2004 635.93 0.56%
Sep.2004 616.55 -3.05%
Oct.2004 607.28 -1.50%
Nov.2004 596.72 -1.74%
Dec.2004 576.17 -3.44%
Jan.2005 574.12 -0.36%
Feb.2005 573.58 -0.09%
Mar.2005 586.48 2.25%
Apr.2005 580.46 -1.03%
May.2005 578.31 -0.37%
Jun.2005 585.47 1.24%
Jul.2005 575.77 -1.66%
Sep.2005 536.70 -1.81%
Oct.2005 535.50 -0.22%
Nov.2005 529.88 -1.05%
Dec.2005 514.33 -2.93%
Jan.2006 524.48 1.97%
Feb.2006 525.70 0.23%
Mar.2006 528.77 0.58%
Apr.2006 517.33 -2.16%
May.2006 520.79 0.67%
Jun.2006 542.46 4.16%
Jul.2006 540.62 -0.34%
Aug.2006 538.53 -0.39%
Sep.2006 538.65 0.02%
Oct.2006 530.95 -1.43%
Nov.2006 527.44 -0.66%
Dec.2006 527.58 0.03%
Jan.2007 540.51 2.45%
Feb.2007 542.27 0.32%
Mar.2007 538.49 -0.70%
Apr.2007 532.30 -1.15%
May.2007 522.02 -1.93%
Jun.2007 526.72 0.90%
Jul.2007 519.80 -1.31%
Aug.2007 522.92 0.60%
Sep.2007 516.91 -1.15%
Oct.2007 501.44 -2.99%
Nov.2007 506.95 1.10%
Dec.2007 499.28 -1.51%
Feb.2008 467.22 -2.84%
Apr.2008 446.43 0.79%
Jul.2008 502.24 1.75%
Aug.2008 516.70 2.88%
Sep.2008 530.17 2.61%
Dec.2008 649.32 -0.34%
Feb.2009 606.00 -2.73%
Mar.2009 592.93 -2.16%
Apr.2009 583.18 -1.65%
May.2009 565.72 -2.99%
Jun.2009 553.08 -2.23%
Jul.2009 540.42 -2.29%
Aug.2009 546.88 1.20%
Sep.2009 549.07 0.40%
Oct.2009 545.83 -0.59%
Dec.2009 501.45 -1.25%
Jan.2010 500.66 -0.16%
Mar.2010 523.16 -1.76%
Apr.2010 520.62 -0.49%
May.2010 533.21 2.42%
Jun.2010 536.67 0.65%
Jul.2010 531.72 -0.92%
Sep.2010 493.93 -3.02%
Oct.2010 484.04 -2.00%
Nov.2010 482.32 -0.36%
Dec.2010 474.78 -1.56%
Jan.2011 489.44 3.09%
Feb.2011 475.69 -2.81%
Mar.2011 479.65 0.83%
Apr.2011 471.32 -1.74%
May.2011 467.73 -0.76%
Jun.2011 469.41 0.36%
Jul.2011 462.94 -1.38%
Aug.2011 466.79 0.83%
Sep.2011 483.69 3.62%
Nov.2011 508.44 -0.65%
Dec.2011 517.17 1.72%
Jan.2012 501.34 -3.06%
Mar.2012 485.40 0.81%
Apr.2012 486.00 0.12%
May.2012 497.09 2.28%
Jun.2012 505.63 1.72%
Jul.2012 491.93 -2.71%
Aug.2012 480.99 -2.22%
Sep.2012 474.97 -1.25%
Oct.2012 475.36 0.08%
Nov.2012 480.57 1.10%
Dec.2012 477.13 -0.72%
Jan.2013 472.67 -0.93%
Feb.2013 472.34 -0.07%
Mar.2013 472.48 0.03%
Apr.2013 472.14 -0.07%
May.2013 479.58 1.58%
Jul.2013 504.96 0.41%
Aug.2013 512.59 1.51%
Sep.2013 504.57 -1.56%
Oct.2013 500.81 -0.75%
Nov.2013 519.25 3.68%
Dec.2013 529.45 1.96%
Jan.2014 537.03 1.43%
Feb.2014 554.41 3.24%
Mar.2014 563.84 1.70%
Apr.2014 554.64 -1.63%
May.2014 555.40 0.14%
Jun.2014 553.06 -0.42%
Jul.2014 558.21 0.93%
Aug.2014 579.05 3.73%
Sep.2014 593.47 2.49%
Oct.2014 589.98 -0.59%
Nov.2014 592.46 0.42%
Dec.2014 612.92 3.45%
Jan.2015 620.91 1.30%
Feb.2015 623.62 0.44%
Mar.2015 628.50 0.78%
Apr.2015 614.73 -2.19%
May.2015 607.60 -1.16%
Jun.2015 629.99 3.69%
Jul.2015 650.14 3.20%
Sep.2015 691.73 0.53%
Oct.2015 685.31 -0.93%
Nov.2015 704.00 2.73%
Dec.2015 704.24 0.03%
Jan.2016 721.95 2.51%
Feb.2016 704.08 -2.47%
Mar.2016 682.07 -3.13%
Apr.2016 669.93 -1.78%
May.2016 681.87 1.78%
Jun.2016 681.07 -0.12%
Jul.2016 657.57 -3.45%
Aug.2016 658.89 0.20%
Sep.2016 668.63 1.48%
Oct.2016 663.92 -0.70%
Nov.2016 666.12 0.33%
Dec.2016 667.17 0.16%
Jan.2017 661.19 -0.90%
Feb.2017 643.21 -2.72%
Mar.2017 661.20 2.80%
Apr.2017 655.74 -0.83%
May.2017 671.54 2.41%
Jun.2017 665.15 -0.95%
Jul.2017 658.17 -1.05%
Aug.2017 644.24 -2.12%
Sep.2017 625.54 -2.90%
Oct.2017 629.55 0.64%
Nov.2017 633.77 0.67%
Dec.2017 636.92 0.50%
Feb.2018 596.84 -1.44%
Mar.2018 603.45 1.11%
Apr.2018 600.55 -0.48%
May.2018 626.12 4.26%
Jun.2018 636.15 1.60%
Jul.2018 652.41 2.56%
Aug.2018 656.25 0.59%
Sep.2018 680.91 3.76%
Oct.2018 676.84 -0.60%
Nov.2018 677.61 0.11%
Dec.2018 681.99 0.65%
Jan.2019 677.06 -0.72%
Feb.2019 656.30 -3.07%
Mar.2019 667.68 1.73%
Apr.2019 667.40 -0.04%
May.2019 692.00 3.69%
Jun.2019 692.41 0.06%
Jul.2019 686.06 -0.92%
Aug.2019 713.70 4.03%
Sep.2019 718.44 0.66%
Oct.2019 721.03 0.36%
Dec.2019 770.39 -0.79%
Jan.2020 772.65 0.29%
Feb.2020 796.38 3.07%
Apr.2020 853.38 1.67%
Jun.2020 793.72 -3.42%
Jul.2020 784.73 -1.13%
Promedio 0.51%
DS 0.01721
Mediana 0.56%
 Promedio 0.51% Esperanza
DS 1.72% Volatilidad

El T/C a 30 Dias Retorno

Lim Inf -2.32%
Lim Sup 3.34%
T/C $ 784.73 Aug.2020
T/C
MC (Forward) Pi x Wi Pi x Uwi
-3.14% $ 760.09 $ 30.77 1.12
-2.52% $ 764.97 $ 21.86 0.79 Prob<0 38.40%
-1.90% $ 769.85 $ 36.66 1.32
-1.27% $ 774.73 $ 55.34 1.99
-0.65% $ 779.61 $ 85.39 3.06 prob T/C > $800
-0.03% $ 784.49 $ 112.07 4.00 Retorno 1.95%
0.59% $ 789.37 $ 137.20 4.88 Prob r > 1,95% 20%
1.21% $ 794.25 $ 90.77 3.22
1.83% $ 799.13 $ 78.01 2.76 Prob T/C este entre $778 y $790
2.46% $ 804.01 $ 63.17 2.23 Retorno $790 0.67%
3.08% $ 808.89 $ 32.74 1.15 Prob r > 1,95% 54%
3.70% $ 813.77 $ 27.13 0.95 Retrono $778 -0.86%
4.32% $ 818.65 $ 17.54 0.61 Prob r > -0,86% 21%
Prob -0,86% y 1,95% 32%
E(w) $ 788.64
E(Uw) 28.08
RC $ 788.58
Opc $ 0.06
Por tanto para cubrir USD1 millon:
Seguro $ 57,395

-inf < COV < + inf

σ 12
10 12 14
ρ 12=
-1 < Ro < 1
σ 1 σ2
0
 90%
$ 766.50
$ 810.92
$ 784.66

prob T/C > $767

Retorno -2.26%
Prob r<-2,26% 5.39%

Bono al gerente si termina con 1,5% sobre lo esperado

Prob T/C $788,64 +1,5% = $ 800.47
Ret 2.01%
Prob r>2,01% 19%

σ 12
σ 1 σ2
Retornos A Retornos B Exemplo
4.40% 3.28% Ret A Ret B
4.63% -1.52% Mes 1 2 10
2.28% 3.15% Mes 2 3 12
3.16% 30.00% Mes 3 4 14
-2.50% 2.97% Mes 4 5 25 Eliminar por B
-1.06% -16.38% Mes 5 15 13 Eliminar por A
1.92% 13.79%
2.57% 2.74%
1.58% 8.02%
1.66% 13.29%
2.13% -15.33%
2.58% 13.37%
2.34% 12.70%
2.08% 6.34% -Infinito < Cov < + infinito
0.86% -3.31% CERO
0.35% 3.02%
0.08% -4.92% -0.00059037 0.00059037
0.40% 5.91% -0.32698162 0.32698162

1.04% 20.38%
0.83% 20.68%
0.87% 4.12%
2.74% 19.90% T1
2.18% 16.16% T2
2.22% -29.68% T3
2.10% -17.36% Total
2.28% 2.48% Volat
1.91% -1.13%
3.32% -8.70%
0.96% -26.44%
0.56% 15.05%
0.83% 5.63%
0.99% -12.37%
1.27% -14.73%
1.05% -22.48%
1.33% -1.55%
-0.01% -1.70%
-0.67% -8.90%
0.46% -7.29%
0.83% 9.07%
2.16% 6.36%
1.99% 30.78%
0.71% 16.32%
 1.11% 21.90%
0.85% 2.94%
0.43% 0.96%
0.72% 17.18%
0.88% 8.99%
1.77% 2.31%
0.50% 16.73%
2.65% -30.77%
2.73% -2.57%
0.20% -1.12%
0.25% 3.24%
1.83% 20.87%
1.99% -41.17%
0.65% 0.50%
3.56% -0.04%
-1.53% -11.63%
1.39% 32.72%
-0.60% 11.46%
1.36% -28.38%
1.29% 9.20%
0.00% 8.27%
-1.10% 13.89%
0.03% -24.25%
0.58% 7.98%
-0.26% -0.86%
-0.73% 20.63%
1.01% -22.60%
-0.51% -11.79%
1.54% -16.73%
0.69% -31.60%
0.43% -7.03%
3.65% -5.92%
4.26% 7.01%
1.41% 20.06%
1.27% 17.15%
0.94% 2.08%
1.99% -13.95%
2.14% -30.67%
0.74% 6.54%
-1.45% -30.61%
1.44% 36.38%
-0.08% 31.19%
0.19% 3.18%
-0.06% 17.76%
-0.04% 39.14%
 2.28% -23.97%
1.62% 33.68%
1.34% -19.97%
4.60% 36.46%
2.48% 43.73%
0.67% 2.26%
0.09% -13.81%
0.80% -21.31%
0.01% 10.28%
-0.10% 4.79%
1.45% -0.60%
1.11% -13.09%
0.62% -25.79%
1.34% -6.18%
0.97% -22.41%
1.45% 6.69%
2.11% -15.58%
-0.59% -38.38%
0.14% 5.12%
-0.59% 10.57%
0.08% 36.80%
2.43% -3.95%
1.76% 5.23%
2.11% 2.48%
1.94% -0.94%
-0.78% -0.87%
1.21% -15.52%
0.68% -2.92%
0.98% -17.30%
1.04% -34.66%
2.40% -17.12%
1.00% 6.09%
0.94% -33.13%
-0.41% 16.85%
0.37% 7.56%
0.71% 3.04%
0.13% -3.53%
1.08% -5.12%
-0.02% -2.13%
3.21% 4.20%
1.11% -2.19%
-0.41% 1.26%
0.41% 3.16%
-1.39% -1.71%
0.05% -3.09%
-0.95% 9.76%
-0.04% 1.78%
-0.25% -7.07%
-1.09% -4.44%
-0.64% -1.29%
0.30% -7.83%
-2.71% -9.00%
0.88% -2.61%
1.57% -4.23%
-0.41% 6.07%
-0.95% 4.43%
1.20% -8.21%
2.44% -2.41%
1.88% 3.48%
3.06% 1.00%
1.40% -3.66%
-0.81% -1.73%
-0.11% 3.88%
0.60% -4.01%
0.14% 3.71%
-0.76% 35.97%
-0.54% 38.68%
0.89% 43.09%
0.21% 55.53%
0.09% 52.03%
0.18% -23.72%
0.90% -3.97%
1.08% 37.69%
0.57% 30.32%
0.33% -36.37%
-1.79% -7.95%
-0.51% 4.95%
0.85% 18.80%
0.25% -15.14%
-0.29% -27.67%
-0.19% -6.47%
-0.42% -2.55%
0.01% -26.21%
-0.12% 40.63%
2.54% -4.37%
3.14% 6.32%
3.45% 9.82%
-1.07% -21.74%
0.89% -6.53%
0.27% -14.25%
-0.07% -12.50%
0.61% -1.30%
1.85% 1.77%
1.42% 2.86%
-0.16% 12.24%
-1.47% 6.18%
-0.07% 13.24%
1.97% -17.27%
0.70% 10.03%
3.74% 10.27%
-0.20% 3.10%
-2.06% -4.18%
0.56% -9.74%
3.53% 1.95%
2.90% 1.01%
-0.72% 10.19%
2.24% 19.25%
2.56% 2.72%
1.07% 49.96%
-1.01% 4.43%
-3.30% 50.23%
-1.46% -20.18%
-1.65% 5.45%
0.74% 6.92%
2.67% -21.25%
1.55% 1.73%
2.46% -15.75%
1.52% 26.73%
2.70% 12.07%
0.34% 2.60%
1.19% -16.79%
0.01% -8.64%
-0.61% 19.04%
-1.40% 0.78%
4.38% 15.94%
1.84% 21.07%
0.98% 23.14%
1.92% -5.16%
2.63% -11.76%
1.12% 3.38%
3.94% 20.97%
-2.64% 8.16%
-2.94% 27.48%
-0.28% 34.86%
1.73% 17.13%
-2.29% -45.74%
-1.88% -8.37%
0.47% -13.45%
3.04% 3.53%
3.35% 16.19%
0.86% -30.06%
3.51% 12.80%
2.11% 14.36%
-1.06% -28.52%
2.92% -38.22%
3.15% 2.32%
-0.26% -5.84%
-3.37% -16.63%
-2.04% -38.80%
0.80% -48.23%
-1.13% -6.82%
0.38% 28.22%
-3.19% -43.79%
1.86% -19.39%
3.36% 10.51%
0.71% 56.12%
4.53% -9.47%
1.22% 6.35%
-1.73% 6.92%
0.56% 9.44%
-3.05% 20.99%
-1.50% 24.04%
-1.74% -7.62%
-3.44% -11.86%
-0.36% 45.14%
-0.09% -4.37%
2.25% 6.30%
-1.03% 3.01%
-0.37% -2.40%
1.24% -42.60%
-1.66% -12.17%
-1.81% 30.62%
-0.22% 14.51%
-1.05% 12.39%
-2.93% -4.87%
1.97% -6.28%
0.23% 4.82%
0.58% 33.12%
-2.16% 38.96%
0.67% 7.28%
 4.16% -4.16%
-0.34% 34.29%
-0.39% -7.09%
0.02% -30.52%
-1.43% 23.32%
-0.66% 6.74%
0.03% 3.23%
2.45% -0.15%
0.32% -13.97%
-0.70% 7.48%
-1.15% 31.86%
-1.93% -32.49%
0.90% 62.87%
-1.31% 14.06%
0.60% 20.64%
-1.15% 7.12%
-2.99% 64.24%
1.10% 13.25%
-1.51% 4.94%
-2.84% -22.29%
0.79% 12.73%
1.75% 30.17%
2.88% 61.16%
2.61% -0.57%
-0.34% -1.20%
-2.73% 6.90%
-2.16% 26.94%
-1.65% 17.10%
-2.99% -4.35%
-2.23% 30.81%
-2.29% -1.19%
1.20% 57.69%
0.40% 8.86%
-0.59% -20.11%
-1.25% 9.35%
-0.16% 17.83%
-1.76% -10.35%
-0.49% 9.65%
2.42% 19.52%
0.65% 6.65%
-0.92% -3.31%
-3.02% -7.98%
-2.00% -27.80%
-0.36% -5.39%
-1.56% 8.34%
 3.09% 9.81%
-2.81% -1.42%
0.83% -21.43%
-1.74% -1.36%
-0.76% 33.68%
0.36% 21.35%
-1.38% -8.99%
0.83% 9.92%
3.62% -1.29%
-0.65% 7.84%
1.72% -4.56%
-3.06% -13.01%
0.81% -17.79%
0.12% 14.89%
2.28% -1.97%
1.72% 28.88%
-2.71% 18.34%
-2.22% 34.58%
-1.25% -1.32%
0.08% 23.00%
1.10% 0.28%
-0.72% -12.79%
-0.93% 9.31%
-0.07% 6.98%
0.03% -6.92%
-0.07% -3.82%
1.58% -2.67%
0.41% 6.78%
1.51% -8.70%
-1.56% 2.79%
-0.75% 1.19%
3.68% 8.84%
1.96% -1.47%
1.43% 1.45%
3.24% -2.89%
1.70% -8.82%
-1.63% 2.29%
0.14% 6.83%
-0.42% 0.61%
0.93% -9.55%
3.73% 4.53%
2.49% -1.51%
-0.59% 1.47%
0.42% -7.49%
3.45% -3.12%
 1.30% 7.14%
0.44% 3.23%
0.78% -2.18%
-2.19% -1.85%
-1.16% -2.36%
3.69% -1.03%
3.20% 8.97%
0.53% 2.41%
-0.93% 4.86%
2.73% -5.99%
0.03% 5.32%
2.51% 3.11%
-2.47% 1.52%
-3.13% 8.89%
-1.78% -7.54%
1.78% -0.29%
-0.12% 4.39%
-3.45% 4.78%
0.20% 0.06%
1.48% -1.46%
-0.70% 3.39%
0.33% -0.36%
0.16% 1.86%
-0.90% 3.38%
-2.72% 6.27%
2.80% 2.24%
-0.83% -2.26%
2.41% -1.19%
-0.95% 4.01%
-1.05% 5.83%
-2.12% 6.78%
-2.90% -3.30%
0.64% 9.27%
0.67% 4.16%
0.50% -9.58%
-1.44% -1.03%
1.11% 5.61%
-0.48% 5.63%
4.26% -6.51%
1.60% -6.00%
2.56% -5.70%
0.59% 4.49%
3.76% -9.60%
-0.60% -1.71%
0.11% 2.80%
 0.65% -0.83%
-0.72% 2.41%
-3.07% -0.95%
1.73% -1.05%
-0.04% -2.12%
3.69% -2.90%
0.06% 0.64%
-0.92% 0.67%
4.03% 0.50%
0.66% -1.44%
0.36% 1.11%
-0.79% -0.48%
0.29% 4.26%
3.07% 1.60%
1.67% 0.64%
-3.42% 0.67%
-1.13% 0.50%
Esperanza 0.50% 2.54% 6.05% 30.53%
DS 1.72% 17.78% 5.97% 61.59%
VAR 0.03% 3.16%
COVAR -2.63567E-06
CORR -0.00086218
 Ret A Ret B
MES 1 3 7
MES 2 4 8
MES 3 5 9
Prom 4 8 6 6
iminar por B
iminar por A SD2 2 2 2 12

EXE A B
Esp
DS
4%
3%
8%
5% E(r p )=x 1 E(r 1 )+x 2
E(rp) 1 Xi 0.5 0.5 x1 y x2 son % de la riqueza en cada activo
Erp 6.0% x1+x2=1.0
E(rp) 2 Xi 0.6 0.4
Erp 5.6%
2 2 2 2 2
E(rp) 3 Xi
Erp
0.7
5.2%
0.3
σ P =x 1 σ 1 + x 2 σ 2 +2 x
E(rp) 4 Xi 0.8 0.2
Erp 4.8%
σ 12
Var (p) 1 Var (p) 2 Var (p) 3 Var (p) 4 -1 < ρ12=
0.02%
0.06%
0.03%
0.04%
0.04%
0.02%
0.06%
0.01%
σ 1 σ2
0.03% 0.03% 0.02% 0.02%
2 2 2 2 2
0.11%
3.38%
0.10%
3.17%
0.09%
3.02%
0.09%
2.94%
σ P =x 1 σ 1 + x 2 σ 2 +2 x
x 1 E(r 1 )+x 2 E(r 2 )
e la riqueza en cada activo

2 2 2
1 +x 2 σ 2 +2 x 1 x 2 σ 12
-Infinito < Cov < + infinito
CERO

σ 12
ρ12= < 1
σ 1 σ2
2 2 2
1 + x 2 σ 2 +2 x 1 x 2 ρ 12 σ 1 σ 2
 Activo 1 Activo 2 Profolios X1 X2 Varp
Esperanza 6.09% 30.82% 1 100.00% 0.00% 0.0036
DS 5.97% 12.00% 2 99.00% 1.00% 0.0035
Var 0.36% 1.44% 3 98.00% 2.00% 0.0034
Ro 0.0000 4 97.00% 3.00% 0.0034
5 96.00% 4.00% 0.0033
6 95.00% 5.00% 0.0033
σ 12 7 94.00% 6.00% 0.0032
-1 <
ρ12= < +1 8 93.00% 7.00% 0.0032
σ 1 σ2 9 92.00% 8.00% 0.0031
10 91.00% 9.00% 0.0031
2 2 2 2 2 11 90.00% 10.00% 0.0030
σ P =x 1 σ 1 +x 2 σ 2 +2 x 1 x 2 ρ12 σ 1 σ 2 12 89.00% 11.00% 0.0030
13 88.00% 12.00% 0.0030
14 87.00% 13.00% 0.0029
15 86.00% 14.00% 0.0029
16 85.00% 15.00% 0.0029
17 84.00% 16.00% 0.0029
18 83.00% 17.00% 0.0029
19 82.00% 18.00% 0.0029
20 81.00% 19.00% 0.0029
21 80.00% 20.00% 0.0029
22 79.00% 21.00% 0.0029
23 78.00% 22.00% 0.0029
24 77.00% 23.00% 0.0029
25 76.00% 24.00% 0.0029
26 75.00% 25.00% 0.0029
27 74.00% 26.00% 0.0029
28 73.00% 27.00% 0.0029
29 72.00% 28.00% 0.0030
30 71.00% 29.00% 0.0030
31 70.00% 30.00% 0.0030
32 69.00% 31.00% 0.0031
33 68.00% 32.00% 0.0031
34 67.00% 33.00% 0.0032
35 66.00% 34.00% 0.0032
36 65.00% 35.00% 0.0033
37 64.00% 36.00% 0.0033
38 63.00% 37.00% 0.0034
39 62.00% 38.00% 0.0034
40 61.00% 39.00% 0.0035
41 60.00% 40.00% 0.0036
42 59.00% 41.00% 0.0037
43 58.00% 42.00% 0.0037
44 57.00% 43.00% 0.0038
45 56.00% 44.00% 0.0039
46 55.00% 45.00% 0.0040
47 54.00% 46.00% 0.0041
48 53.00% 47.00% 0.0042
49 52.00% 48.00% 0.0043
50 51.00% 49.00% 0.0044
51 50.00% 50.00% 0.0045
52 49.00% 51.00% 0.0046
53 48.00% 52.00% 0.0047
54 47.00% 53.00% 0.0048
55 46.00% 54.00% 0.0050
56 45.00% 55.00% 0.0051
57 44.00% 56.00% 0.0052
58 43.00% 57.00% 0.0053
59 42.00% 58.00% 0.0055
60 41.00% 59.00% 0.0056
61 40.00% 60.00% 0.0058
62 39.00% 61.00% 0.0059
63 38.00% 62.00% 0.0060
64 37.00% 63.00% 0.0062
65 36.00% 64.00% 0.0064
66 35.00% 65.00% 0.0065
67 34.00% 66.00% 0.0067
68 33.00% 67.00% 0.0069
69 32.00% 68.00% 0.0070
70 31.00% 69.00% 0.0072
71 30.00% 70.00% 0.0074
72 29.00% 71.00% 0.0076
73 28.00% 72.00% 0.0077
74 27.00% 73.00% 0.0079
75 26.00% 74.00% 0.0081
76 25.00% 75.00% 0.0083
77 24.00% 76.00% 0.0085
78 23.00% 77.00% 0.0087
79 22.00% 78.00% 0.0089
80 21.00% 79.00% 0.0091
81 20.00% 80.00% 0.0094
82 19.00% 81.00% 0.0096
83 18.00% 82.00% 0.0098
84 17.00% 83.00% 0.0100
85 16.00% 84.00% 0.0103
86 15.00% 85.00% 0.0105
87 14.00% 86.00% 0.0107
88 13.00% 87.00% 0.0110
89 12.00% 88.00% 0.0112
 90 11.00% 89.00% 0.0114
91 10.00% 90.00% 0.0117
92 9.00% 91.00% 0.0120
93 8.00% 92.00% 0.0122
94 7.00% 93.00% 0.0125
95 6.00% 94.00% 0.0127
96 5.00% 95.00% 0.0130
97 4.00% 96.00% 0.0133
98 3.00% 97.00% 0.0136
99 2.00% 98.00% 0.0138
100 1.00% 99.00% 0.0141
101 0.00% 100.00% 0.0144

2 2 2 2 2
σ P =x 1 σ 1 +x 2 σ 2 +2 x 1 x 2 ρ12 σ
Rentabildad
esperada E(r p )=x 1 E(r 1 )+x 2 E(r

2 2 2 2 2
Varianza
σ P =x 1 σ 1 + x 2 σ 2 +2 x 1 x 2 σ

σ 12
ρ12=
σ 1 σ2
2 2 2 2 2
σ P =x 1 σ 1 +x 2 σ 2 +2 x 1 x 2 ρ12 σ

M1 M2
3 7
 4 8
5 9
Prom 4 8 6 6

SD2 2 2 2 12
 DS E(rp)
5.97% 6.09%
5.91% 6.34% Chart Title
5.85% 6.59% 35.00%
5.80% 6.83%
30.00%
5.75% 7.08%
5.70% 7.33% 25.00%
5.66% 7.58%
5.61% 7.82% 20.00%
5.57% 8.07%
15.00%
5.54% 8.32%
5.50% 8.56% 10.00%
5.47% 8.81%
5.45% 9.06% 5.00%
5.42% 9.31%
0.00%
5.40% 9.55% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00%
5.38% 9.80%
5.37% 10.05% Restricción
5.36% 10.30% X1+X2=1.0 A1 A2
5.35% 10.54% Riqueza 1000 300 700
5.3445% 10.79% 0.3 0.7
5.3434% 11.04% 1.00
5.35% 11.28%
5.35% 11.53%
5.36% 11.78% Covarianza
5.37% 12.03%
5.39% 12.27% -inf 0 +inf
5.41% 12.52%
5.43% 12.77%
5.45% 13.02% Coeficente de Correlación
5.48% 13.26% -1 0 1
5.51% 13.51%
5.55% 13.76%
5.59% 14.00%
5.63% 14.25%
5.67% 14.50%
5.72% 14.75%
5.77% 14.99%
5.82% 15.24%
5.87% 15.49%
5.93% 15.74%
5.99% 15.98%
6.05% 16.23%
6.11% 16.48%
6.18% 16.72%
 6.25% 16.97%
6.32% 17.22%
6.39% 17.47%
6.47% 17.71%
6.54% 17.96%
6.62% 18.21%
6.70% 18.46%
6.78% 18.70%
6.87% 18.95%
6.95% 19.20%
7.04% 19.45%
7.13% 19.69%
7.21% 19.94%
7.31% 20.19%
7.40% 20.43%
7.49% 20.68%
7.59% 20.93%
7.68% 21.18%
7.78% 21.42%
7.88% 21.67%
7.97% 21.92%
8.07% 22.17%
8.18% 22.41%
8.28% 22.66%
8.38% 22.91%
8.48% 23.15%
8.59% 23.40%
8.69% 23.65%
8.80% 23.90%
8.91% 24.14%
9.01% 24.39%
9.12% 24.64%
9.23% 24.89%
9.34% 25.13%
9.45% 25.38%
9.56% 25.63%
9.67% 25.87%
9.79% 26.12%
9.90% 26.37%
10.01% 26.62%
10.13% 26.86%
10.24% 27.11%
10.35% 27.36%
10.47% 27.61%
10.58% 27.85%
 10.70% 28.10%
10.82% 28.35%
10.93% 28.59%
11.05% 28.84%
11.17% 29.09%
11.29% 29.34%
11.40% 29.58%
11.52% 29.83%
11.64% 30.08%
11.76% 30.33%
11.88% 30.57%
12.00% 30.82%

2 x 1 x 2 ρ12 σ 1 σ 2

(r 1 )+x 2 E(r 2 )

2 2
2 σ 2 +2 x 1 x 2 σ 12

σ 12
ρ12=
σ 1 σ2

+2 x 1 x 2 ρ12 σ 1 σ 2
 Ejemplo 1 90% 95%

Lim Inf 5.51% 3.69%

Esperanza 14.99% 14.99%
Lim Sup 24.48% 26.30%
Prob <6,1% 6.15% Prob que el retorno este entre 3% y 9%

Prob>30% 0.5% Prob<9 100.00%

Prob<3 100.00%
Normaliz Probabilidad Prob = 0.00%
1.99% 1.21%
2.99% 1.87%
3.99% 2.82%
4.99% 4.14%
1.00% 12.00% 13.00% 5.99% 5.93%
6.99% 8.27%
7.99% 11.24%
8.99% 14.90%
9.99% 19.29%
10.99% 24.39%
11.99% 30.14%
12.99% 36.44%
13.99% 43.12%
14.99% 50.00%
15.99% 43.12%
16.99% 36.44%
17.99% 30.14%
18.99% 24.39%
19.99% 19.29%
20.99% 14.90%
21.99% 11.24%
22.99% 8.27%
23.99% 5.93%
24.99% 4.14%
25.99% 2.82%
26.99% 1.87%
27.99% 1.21%
Ejemplo 2 Activo 1 Activo 2 2 2 2 2 2
Esperanza
DS
6.09%
5.97%
30.82%
12.00%
σ P =x 1 σ 1 + x 2 σ 2 +2 x 1 x
Var 0.36% 1.44%
Ro 0
Cov 0.0000

Balance Cia CPyA (T=0)

Activos
Act 1 $9,000.00
Act 2 $3,320.00 Capital $12,320.00
Total $12,320.00 Total $12,320.00

x1 0.7305 4.45% Var(p) 0.29%

x2 0.2695 8.31% DS 5.43%
Total 1.0000 12.76% E(rp)
Prob <10%

Balance Cia CPyA (T=1)

Activos
Act 1 $9,548.25 Capital $12,320.00 Lim Inf
Act 2 $4,343.23 Utilidad $1,571.48 12.76% Lim Sup
Total $13,891.48 Total $13,891.48
 2 2
x 2 σ 2 +2 x 1 x 2 σ 12
σ 12
ρ12=
σ 1 σ2

30.58%

IC 90% IC60%
0.04 0.08
0.22 0.17
 Activo 1 Activo 2 Activo 3
Esperanza 5.60 10.53 7.50
DS 3.87 7.07 6.00
Var 15.00 50.00 36.00
Ro 0.01
Ro (2,3) 0.1
Ro (1,3) 0.15

E(r p )=x1 E(r1 )+x2 E(r2 )

2 2 2 2 2
σ P =x 1 σ 1 + x 2 σ 2 +2 x 1 x 2 σ 12
σ 12
ρ12=
σ 1 σ2
2 2 2 2 2
σ P =x 1 σ 1 + x 2 σ 2 +2 x 1 x 2 ρ12 σ 1 σ 2
Profolios X1 X2 X3
1 100% 0.00% 0.00%
2 80.00% 10.00% 10.00%
3 70.00% 20.00% 10.00%
4 50.00% 30.00% 20.00%

n
∑ x t E ( r t )=x 1 E( r 1 )+ x 2 E( r 2 )+…+ x n E
t =1

2
σ1 σ 12 ⋯ σ 1 n
σ 21 σ 22 ⋯ σ 2 n
Var Cov
∑(nxn ) =| |
⋮ ⋮ ⋱ ⋮
σ n1 σ n 2 ⋯ σ 2n (nxn )

Matriz Ponderadores
 Varianza Porfolio

Exe con 2 activos

2
σ1 σ 12 x1
σ 2p =|x 1 x 2 |(1 x 2)| 2
| | | =|x 2
1 1+ x2 σ
σ
σ 21 σ 2 ( 2 x 2) x 2 ( 2 x 1 )
2 2 2 2 2
σ p =( x 1 σ 1 + x 2 σ 21 )x 1 +( x 1 σ 12 + x 2 σ 2 )x 2 =x 1 σ 1 +x 1

2 2 2 2 2
σ p =x 1 σ 1 + x 2 σ 2 +

3 activos
Activo 1 Activo 2 Activo 3
Esperanza 5.6000 10.5300 7.5000 σ 12
DS 3.8730 7.0711 6.0000
ρ12=
Var
Ro (1,2)
15.0000
0.01
50.0000 36.0000
σ 1 σ2
Ro (2,3) 0.10
Ro (1,3) 0.15

15.00 0.27 3.49

Var Cov 0.27 50.00 4.24
3.49 4.24 36.00

0.25
X 0.25
0.5

X´ 0.25 0.25 0.5

 Varp 5.56130782548 14.6897856632 19.9320814247 (Control + Shif + Enter)

Varp 15.0288140845

Normal 90%
E(rp) 7.78 Lim inf 1.41
DS 3.88 Esperanza 7.78
Lim Sup 14.16

Este activo
correlaciona 0 con
4 activos
todos los demas
Activo 1 Activo 2 Activo 3 Activo 4
Esperanza 0.0560 0.1053 0.0750 0.120
DS 0.3873 0.7071 0.6000 0.837
Var 0.1500 0.5000 0.3600 0.700
Ro (1,2) 0.01
Ro (2,3) 0.10
Ro (1,3) 0.15

A1 A2 A3 A4
15.00 0.27 3.49 0.00
Var Cov 0.27 50.00 4.24 0.00
3.49 4.24 36.00 0.00
0.00 0.00 0.00 70.00

Esp Act
0.1500 0.0560
X 0.1500 0.1053 Esp P 0.09468431521 9.47
0.3000 0.0750
0.4000 0.1200

X´ 0.1500 0.1500 0.3000 0.4000

Varp 3.337 8.814 11.959 28.000

Varp 16.61
DS 4.08
5 activos
Activo 1 Activo 2 Activo 3 Activo 4 Activo 5
Esperanza 0.0560 0.1053 0.0750 0.1200 0.2000
DS 0.3873 0.7071 0.6000 0.8367 0.9900
Var 0.1500 0.5000 0.3600 0.7000 0.9801

15.000 0.274 3.486 0.000 0.000

0.274 50.000 4.243 0.000 0.000
VAR COV 3.486 4.243 36.000 0.000 0.000
0.000 0.000 0.000 70.000 0.000
0.000 0.000 0.000 0.000 98.010

0.500
0.100
X 0.100 X´ 0.500 0.100 0.100
0.100
0.200

Var p 7.875955 5.561195 5.767107 7.000000 19.602000

Var p 9.691207
DS 3.113070
 5.60000
6.28300 Limite de la diversificación
6.77600
7.45900

2 )+…+ x n E ( r n )

Por tanto:

EXE:Matrix de 4 activos
⋯ σ1 n A1
A1
Var1
A2
Cov1,2
A3
Cov1,3
A4
Cov1,4

⋯ σ2 n A2 Cov1,2 Var2 Cov3,2 Cov2,4

| A3
A4
Cov1,3
Cov1,4
Cov3,2
Cov2,4
Var3
Cov3,4
Cov3,4
Var4
⋱ ⋮
⋯ σ 2n (nxn )

x1
x2
X x3
x4

X´ x1 x2 x3 x4
 (1xn) (nxn) (nx1)
(1xn) (nx1)
(1x1)

x1
=|x 1 σ 21 +x 2 σ 21 2
x 1 σ 12 + x 2 σ 2 |(1 x 2)| |
1) x 2 (2 x 1)
2 2 2 2
x 2 =x 1 σ 1 + x 1 x 2 σ 21 + x 1 x 2 σ 12+ x 2 σ 2

2 2 2
σ 1 + x 2 σ 2 +2 x1 x 2 σ 12

σ 12
ρ12=
σ 1 σ2

(1x3) (3x1)

(1x1)
 95% Prob<0 2.23%
0.18
7.78
15.38

e activo
relaciona 0 con
os los demas

Conclusión
E(rp) 9.47
DS 4.08
90% confianza
Lim Inf 2.76
Lim Sup 16.17

0.100 0.200
mite de la diversificación
2 2 2
σ P =x 1 σ 1 +
σ 2p =
( ) 1 2
n2
σ i + ( n 2
−n( )( )
) 1
n
1
n
σ ij
2
σ1
() ( )
2
1 2 n −n
lim n →∞ σ + σ σ 21
n 2 i
n2 ij
∑(nxn ) =|
⋮
( )
1 2
n 2
σ i + σ ij−()
1
n
σ ij
σ n1
2
σ p =σ ij
 2 2 2 2
P =x 1 σ 1 + x 2 σ 2 +2 x 1 x 2 σ 12

2
σ1 σ 12 ⋯ σ 1 n
2
σ 21 σ2 ⋯ σ2 n
∑(nxn ) =| |
⋮ ⋮ ⋱ ⋮
2
σ n1 σ n 2 ⋯ σ n (nxn)
Porfolio de Minima Varianza

Activo 1 Activo 2
Esperanza 6.09% 30.82%
DS 5.97% 12.00%
Var 0.36% 1.44%
Ro 0

x1 = (1,44 - 0) / (0,36 + 1,44 - 2x0)

x1 = 0.8000
x2 = 0.2000
 x1 x2 L
var1 cov12 1
cov12 var2 1
1 1 0
 σ 21 σ 12 ⋯ σ 1 n
2
σ σ 2 ⋯ σ 2 n|
∑(nxn ) =| 21
⋮ ⋮ ⋱ ⋮
σ n1 σ n 2 ⋯ σ 2n (nxn )
Res
x1 0 EXE
x2 0 0
L/2 1 Y 0
1

x1
X x2
L/2

var1 cco1,2 1
Var-Cov cco1,2 var2 1
(V) 1 1 0

V*X=Y

X = V(-1) * Y

Exemplo (encontrar el minimo riesgo)

Activo 1 Activo 2
Esperanza 6.09% 30.82%
DS 5.97% 12.00%
Var 0.36% 1.44%
Ro 0.0000
 x1 0.80 6.09%
x2 0.20 30.82%
L/2 -0.2855

DS 0.53%
Ep 10.99%

El porfolio de minima varianza (PMV) tiene un retorno esperado de

10,99% y una volatilidad de 0,53%

4 activos
Activo 1 Activo 2 Activo 3 Activo 4
Esperanza 0.0560 0.1053 0.0750 0.12
DS 0.3873 0.7071 0.6000 0.8367
Var 0.1500 0.5000 0.3600 0.7
Ro (1,2) 0.01
Ro (2,3) 0.10
Ro (1,3) 0.15

A1 A2 A3 A4
15.00 0.27 3.49 0.00
Var Cov 0.27 50.00 4.24 0.00
3.49 4.24 36.00 0.00
0.00 0.00 0.00 70.00

x1 0.5431 5.6000
x2 0.1582 10.5300
x3 0.1730 7.5000
x4 0.1256 12
L/2 -8.7935

Ep 7.51
DS 2.97

Lim Inf 2.64

Lim Sup 12.39
 σ1
2
σ 12 ⋯ σ 1n 1.0 x1 0
σ 21 σ 22 1.0 x2 0
∑ ( n+1 xn+1)=| ⋮ X ( n+1 x 1)=| ⋮ | Y (n+1 x1 )=| ⋮ |
⋱ 1.0 |
σ n1 σ 2n ⋮ xn 0
1.0 1. 0 1.0 ⋯ 0 λ /2 1.0

σ 12
0 ρ12=
Y= 0
1
σ 1 σ2
x1
 X= x2 X = V(-1) * Y
L/2

0.36 0.00 1
V= 0.00 1.44 1
1 1 0

0.55675254 -0.55675254 0.80172366

V(-1) -0.55675254 0.55675254 0.19827634
0.80172366 0.19827634 -0.28551793

V*X=Y

X = V(-1) * Y

0 x1
0 x2
Y 0 X x3 X = V(-1) * Y
0 x4
1 L/2

15.00 0.27 3.49 0.00 1.00

0.27 50.00 4.24 0.00 1.00
V 3.49 4.24 36.00 0.00 1.00
0.00 0.00 0.00 70.00 1.00
1.00 1.00 1.00 1.00 0.00

0.03465578 -0.00958347 -0.01731323 -0.00775909 0.54313625

V(-1) -0.00958347 0.01735596 -0.00551231 -0.00226019 0.15821305
-0.01731323 -0.00551231 0.02529739 -0.00247185 0.1730293
-0.00775909 -0.00226019 -0.00247185 0.01249112 0.1256214
0.54313625 0.15821305 0.1730293 0.1256214 -8.79349781
Considere la siguiente matriz de covarianzas Rentabilidad esperada del p

Activo Retabilidad Matriz Var-Cov

Riesgoso Esperada A B C D X=
A 4.0 4.20 0.45 0.85 0.50
B 5.0 0.45 6.50 0.55 0.60
C 6.0 0.85 0.55 10.50 0.40
D 8.0 0.50 0.60 0.40 15.00

Los estados financieros al 31,12,2019 presentan la siguiente infromación

X´=
Activos Pasivos
Activo A $ 20,000
Activo B $ 7,000
Activo C $ 2,000 Capital $ 30,000 Porfolio de minima varanza
Activo D $ 1,000
Total Activos $ 30,000 Total Pasivos $ 30,000
V=
Rentabilidad esperada de la empresa y riesgo de exposicion del capital al 31.12.2019
Probabildad de tener perdidas financieras al 31.12.2020
Que opinion tiene usted del porfolio que esta formado por la empresa?
Estaria mejor la empresa cree usted en el PMV?
Entre que valores estara el retorno del PMV en el 90% de los casos
Diseñe 3 puntos fuera del PMV que permitan construir una frontera eficiente de posibilidades de inversion V(-1)=
Si la empresa esta dispuesta a asumir el riesgo de exposición que hoy tiene, que propondría usted?

Activos Pasivos
Activo A $ 8,219
Activo B $ 8,212
Activo C $ 6,494 Capital $ 30,000
Activo D $ 7,075 Porfolio Eficente con riesgo
Total Activos $ 30,000 Total Pasivos $ 30,000

V=

Activos Pasivos Activos Part (%) Retab Esper

Activo A $ - x1 -0.119 4.0
Activo B $ 7,582 Deuda A $ 3,570 x2 0.253 5.0
Activo C $ 10,767 Capital $ 30,000 x3 0.359 6.0
Activo D $ 15,221 x4 0.507 8.0
Total Activos $ 33,570 Total Pasivos $ 33,570 V(-1)=

1 AÑO DESPUES

Activo B $ 7,961.05 Deuda A $ 3,712.98

Activo C $ 11,413.45 Capital $ 30,000.00
Activo D $ 16,438.47 Beneficio $ 2,100.00 7.00%
$ 35,812.98 $ 35,812.98
 0.0%
25.3%
35.9%
50.7%
-11.9%
entabilidad esperada del porfolio Exposición al Riesgo del Capital

x1 0.667
x2 0.233
x3 0.067 Var(p) 2.978 1.873
x4 0.033 Var(p) 2.550

E(rp)= 4.50 Volat (p) 1.597 Prob<0

0.667 0.233 0.067 0.033

orfolio de minima varanza

4.20 0.45 0.85 0.50 1

0.45 6.50 0.55 0.60 1 Y=
0.85 0.55 10.50 0.40 1
0.50 0.60 0.40 15.00 1
1 1 1 1 0

0.153 -0.072 -0.050 -0.031 0.447

-0.072 0.119 -0.027 -0.021 0.283 X=
-0.050 -0.027 0.086 -0.010 0.154
-0.031 -0.021 -0.010 0.061 0.116
0.447 0.283 0.154 0.116 -2.195

orfolio Eficente con riesgo equivalente al de la empresa

4.20 0.45 0.85 0.50 1 4.0

0.45 6.50 0.55 0.60 1 5.0
0.85 0.55 10.50 0.40 1 6.0
0.50 0.60 0.40 15.00 1 8.0
1 1 1 1 0 0
4.0 5.0 6.0 8.0 0 0

0.0672 -0.0770 -0.0189 0.0287 1.9186 -0.2911

-0.0770 0.1192 -0.0249 -0.0174 0.3617 -0.0156
-0.0189 -0.0249 0.0751 -0.0313 -0.3798 0.1055 X=
0.0287 -0.0174 -0.0313 0.0200 -0.9005 0.2011
1.9186 0.3617 -0.3798 -0.9005 -27.3795 4.9829
-0.2911 -0.0156 0.1055 0.2011 4.9829 -0.9859

Var(p)=
Var(p)=
 4.0
5.0
6.0
8.0
4.0
7.00
 Retorno esperado

6.5
1.408 1.000 6.0
5.65

0.24% 5.1
4.5

Volatilidad
1.5 1.6 1.75 2.06

0 V*X=Y
0
0 X = V(-1) * Y
0
1

x1 0.447
x2 0.283
x3 0.154
x4 0.116
L/2 -2.195

E(rp)*= 5.05
Volat*= 1.48
Prob<0 0.03%

0 X = V(-1) * Y
Y= 0
0
0
1
5.65

x1 0.274
x2 0.274
x3 0.216 X´= 0.274 0.274 0.216 0.236
x4 0.236
L1/2 0.7739
L2/2 -0.5874

1.576 2.163 2.751 3.925 Erp= 5.65

2.545 Vol= 1.60
P>0 0.02%
 E(r p )=x 1 E(r m )+x 2 E(r f ) 2 2 2 2 2
σ p =x 1 σ m +x 2 σ f +2 x 1 x 2
X1 + X2 =1 2 2 2
X2 = 1 - X1 σ p =x 1 σ m
σp σp σp
E(r p )= E (R m )+(1− ) E(r f ) x 1=
σm
σm σm

σp Linea de Mercado de Capitales

E(r p )=E(r f )+ [ E(r m )−E(r f ) ]
σm

Za% E(Ra)

Zb% E(Rb) Son los n activos que se pueden

(1-X%) E(Rr) considerar en el porfolio de activos
Zc% E(Rc) riesgosos

E(Rp) Zd% E(Rd)

X% E(Rf)
 Exe: Incorporar un activo libre de riesgo con Rf=2,5
Tema 3 (es con puros activos riegosos)

2 2 2
+x 2 σ f +2 x 1 x 2 σ fm
4.20 0.45

m V= 0.45
0.85
6.50
0.55

2 2 2 X = V(-1) * Y
σ p =x 1 σ m
0.50 0.60
1 1
4.0 5.0

σp
x 1= 0.0672 -0.0770

σm V(-1) -0.0770 0.1192

-0.0189 -0.0249
0.0287 -0.0174
1.9186 0.3617
-0.2911 -0.0156

Incorporar el Activo libre de riesgo

4.20 0.45
V= 0.45 6.50
0.85 0.55
0.50 0.60
0.00 0.00
1 1
X = V(-1) * Y 4.0 5.0

0.23156017 -0.0324011
V(-1) -0.0324011 0.13128837
-0.03489307 -0.02924333
-0.02622032 -0.03223048
-0.13804568 -0.03741347
-0.14132845 -0.1966282
0.05653138 0.07865128
 Vol CTLR Vol STLR
0.75 1.81
1 1.58
1.25 1.48
1.5 1.55
1.75 1.75
2.25 2.43
2.75 3.28
3.26 4.19

Dia de Ayer 100 Rt = (Pt/Pt-1)-1

dia de Hoy 110 10.0% Rt+1=(Pt+1/Pt)-1

Pt+1 Pt Retorno
100 100 0.00%
Z2 100 99 1.01%
100 98 2.04%
100 97 3.09%
100 96 4.17%
100 95 5.26%
100 94 6.38%
Z1 100 93 7.53%
100 92 8.70%
100 91 9.89%
100 90 11.11%
e de riesgo con Rf=2,5

0.85 0.50 1 4.0 0

0.55 0.60 1 5.0 0
10.50 0.40 1 6.0 Y= 0
0.40 15.00 1 8.0 0
1 1 0 0 1
6.0 8.0 0 0 6.50

-0.0189 0.0287 1.9186 -0.2911 0.026539560221

-0.0249 -0.0174 0.3617 -0.0156 0.26051285458
0.0751 -0.0313 -0.3798 0.1055 X= 0.306151597688
-0.0313 0.0200 -0.9005 0.2011 0.406795987511
-0.3798 -0.9005 -27.3795 4.9829 5.00933036604
0.1055 0.2011 4.9829 -0.9859 -1.425

X´= 0.026539560221 0.26051285458

Var p= -0.012380139514 0.014331112594

Var p= 0.002282763521
Valat= 4.7778

0.85 0.50 0.00 1 4.0 0

0.55 0.60 0.00 1 5.0 0
10.50 0.40 0.00 1 6.0 0
0.40 15.00 0.00 1 8.0 Y= 0
0.00 0.00 0.00 1 2.5 0
1 1 1 0 0.0 1
6.0 8.0 2.5 0 0.0 6.50

-0.03489307 -0.02622032 -0.13804568 -0.14132845 0.05653138 x1

-0.02924333 -0.03223048 -0.03741347 -0.1966282 0.07865128 x2
0.07669149 -0.02599496 0.01343987 -0.17920018 0.07168007 X= x3
-0.02599496 0.03834346 0.0461023 -0.2125884 0.08503536 x4
0.01343987 0.0461023 0.11591698 1.72974522 -0.29189809 x5
-0.17920018 -0.2125884 1.72974522 -1.56779421 0.62711769
0.07168007 0.08503536 -0.29189809 0.62711769 -0.25084707
 E(rp)
4
4.5
5 E(rp)
10 CML 10
5.5
6 9 9

7 8 Z1 8
8 7 7
9 6
6
5 5

4 4

3 3

2
Z2 2
t = (Pt/Pt-1)-1 1 1
t+1=(Pt+1/Pt)-1
0 0
0.5 1 1.5 2 2.5 3 3.5 1 1.5

Ret Esp
PZ (t-1) 100
4.50% PZ (t) 94
Rent -6%

Var P = (Rp - E(Rp)) (Z-E(Rz)) PZ (t+1) 100

Rent 6%

4.50%
 Activo Retabilidad Matriz Var-Cov
Riesgoso Esperada A B C D
A 4.0 4.20 0.45 0.85 0.50
B 5.0 0.45 6.50 0.55 0.60
C 6.0 0.85 0.55 10.50 0.40
D 8.0 0.50 0.60 0.40 15.00

0.306151597688 0.4067959875108

0.003263610136 -0.005214583217

0.22612552 4.00
0.31460511 5.00
0.28672028 6.00 X´= 0.22612552 0.31460511 0.28672028 0.34014145 -0.16759236
0.34014145 8.00
-0.16759236 2.50
2.50847074 Varp= 1.50508244 2.50847074 3.51185904 5.51863563 0
-1.0033883 Varp= 4.01355319

Rp (CTLR) 6.50
Volt (CTLR) 2.00
Rp (STLR) 6.50
Volt (STLR) 4.78
 E(rp) CML
10
9
8
7 M
6
5
4
3
2
1
0
1 1.5 2 2.5 3 3.5 4 4.5
BETA Y CAPM

E(r p )=x 1 E(r i )+x 2 E(r M

[
E(r p )=E(r f )+
E (r M )−E(r f )
σM ]σp

E (r i )−E ( r M )
[
=
E(r M )−E (r f )
]
[ ]
σ iM −σ 2M σM
σM

σ iM
E(r i )−E (r M )=E(r f )−E (r M )+ [ E (r M )−E(r f ) ]
σ 2M

E(r i )=E (r f )+ [ E(r M )− E(r f ) ] β i

Y= a+ xb

RE(i)
BAU (10%)

E(S)(7,7%)
Rm (7,5%)

Rs(4,7%)

Rf (2%)
 0 1.0 1.04

Mercado en Chile 7.50% IGPA / IPSA

Rf Hoy 2.00% Tasa Libreta dorada
Beta 1.04

RSTDER = 7.7200%

Retornos del Santader Rt=Pt-Pt-1/Pt-1 Supuesto es que el precio esta muy cerca de valor
(cualquier activo) Precio = Valor

Pt = Vt = Valor depende de los Flujos de caja que genera el activo

)=x 1 E(r i )+x 2 E(r M )

∂ E(r p )/∂ x 1 E(r i )−E ( r M )

=

[ ]
∂ σ p /∂ x 1 σ −σ 2 iM M
σM

σ iM σ iM ρ Mi σ M σ i
(r M )−E(r f ) ] β= =
σ 2M σ 2M σ 2M

Beta =1.0
Eri = Rf + (Rm-Rf)1.0
Eri = Rm

SML

BANUTEM (MM$) (Proyecto i-esimo) (BA

Hoy Equilibrio Dif Inversión -$ 1,000
P0 -34.33 -33.36 -0.97 Tasa 7.7%
P1 35.94 35.94 Van $ 21
RS 4.7% 7.7% TIR 10%
 Beta E(ri) 7.7% 7.7%
Po -$ 1.02
P1 $ 1.10
VAN (7,72%) -34.33 35.94 TIR 7.8%
VAN (7,72%) -0.96 Van $ 0.00
asa Libreta dorada

Estado resultados EXE

+ Ingreso $ 1,000

ACTIVOS
ta muy cerca de valor - Costo $ 400
= Margen Bruto $ 600
- GAV $ 400
= UAII (Operacional) $ 200
- Intereses $ -
= UAI $ 200
- Impuestos $ 54

PASIVOS
= UNETA $ 146
/ N°Acc $ 73
= UPA $ 2
x RDISTRIB 50%
= DIV $ 1.00

VALOR ACC (1) $ 12.95

VALOR ACC (2)
 Fecha Mercado Stader
17 de noviembre de 2020 0.15% 0.17%
16 de nov. De 2020 1.05% 0.17%
13 de nov. De 2020 2.27% 2.99%
12 de noviembre de 2020 -1.58% 2.01%
11 de noviembre de 2020 0.05% 0.74%
10 de noviembre de 2020 1.25% 3.80%
9-Nov-20 3.05% 2.75%
06 de noviembre de 2020 2.93% 5.39%
04 de noviembre de 2020 -0.10% -3.38%
03 de noviembre de 2020 -1.39% -0.54%
02 de noviembre de 2020 0.88% 2.33%
30 de oct de 2020 -1.19% -2.84%
29 de oct de 2020 -1.29% -4.00%
28 de oct de 2020 -1.83% -2.45%
27 de oct de 2020 -0.24% 0.47%
26 de oct de 2020 -2.68% -3.42%
23 de oct de 2020 -0.09% 2.85%
22 de octubre de 2020 0.76% 1.57%
21 de oct de 2020 2.99% 5.20%
20 de oct de 2020 1.13% 1.45%
19 de oct de 2020 -0.24% -0.94%
16 de oct de 2020 -0.58% -2.60%
15 de oct de 2020 -0.07% 5.17%
14 de oct de 2020 0.27% 0.00%
13 de oct de 2020 -0.62% -1.38%
09 de oct de 2020 0.74% 1.74%
08 de oct de 2020 1.73% -0.70%
07 de oct de 2020 -0.92% -2.33%
06 de octubre de 2020 -1.47% -3.93%
05 de octubre de 2020 0.27% 2.44%
02 de oct de 2020 0.84% 3.78%
01 de oct de 2020 -0.05% -0.11%
30 de septiembre de 2020 2.31% 1.94%
29 de septiembre de 2020 -1.11% -1.65%
28 de septiembre de 2020 0.18% 0.00%
25 de septiembre de 2020 0.49% -1.63%
24 de septiembre de 2020 1.45% 3.05%
M$) (Proyecto i-esimo) (BAU) 23 de septiembre de 2020 -3.14% -3.10%
$ 1,100 Beta= 1.04 22 de septiembre de 2020 -0.25% 0.11%
21 de septiembre de 2020 -2.30% -2.57%
17 de septiembre de 2020 0.34% 0.11%
16 de septiembre de 2020 -0.12% 0.14%
 15 de septiembre de 2020 0.32% 0.00%
1,000 -$ 1,020 $ 20.00 14 de septiembre de 2020 -0.08% -0.53%
11 de septiembre de 2020 0.69% -1.72%
10 de septiembre de 2020 -2.24% -2.82%
09 de septiembre de 2020 -1.42% -1.97%
Septiembre 08, 2020 -0.73% -1.65%
07 de septiembre de 2020 1.14% 1.08%
04 de septiembre de 2020 -0.92% -1.23%
03 de septiembre de 2020 0.81% 4.38%
02 de septiembre de 2020 1.65% -0.44%
1-Sep-20 -0.38% -0.23%
31 de agosto de 2020 -2.75% -2.00%
28 de agosto de 2020 -0.36% 0.03%
27 de agosto de 2020 0.68% -0.81%
26 de agosto de 2020 -0.93% -1.60%
25 de agosto de 2020 -1.63% -0.86%
DEUDA 0 24 de agosto de 2020 -0.81% -1.01%
TASA 10% 21 de agosto de 2020 0.42% -0.25%
Intereses 0 20 de agosto de 2020 -0.52% -0.25%
19 de agosto de 2020 -0.62% -2.74%
18 de agosto de 2020 -0.43% 0.77%
17 de agosto de 2020 0.60% 1.56%
14 de agosto de 2020 0.30% 0.69%
13 de agosto de 2020 -0.78% 0.54%
12 de agosto de 2020 0.91% 0.25%
11 de agosto de 2020 0.41% -0.63%
10 de agosto de 2020 -0.12% -0.38%
7-Aug-20 0.51% -0.25%
Agosto 06, 2020 0.93% 1.52%
Agosto 05, 2020 0.16% 0.00%
Agosto 04, 2020 -0.51% -1.25%
3-Aug-20 -1.76% -2.88%
31 de julio de 2020 1.61% 0.98%
30 de julio de 2020 -0.75% 0.09%
29 de julio de 2020 -1.78% -2.22%
28 de julio de 2020 -0.17% 0.33%
27 de julio de 2020 1.19% 1.62%
24 de julio de 2020 0.77% -0.30%
23 de julio de 2020 1.00% 1.02%
22 de julio de 2020 1.48% 0.93%
21 de julio de 2020 -0.95% 1.26%
20 de julio de 2020 -1.76% -1.03%
17 de julio de 2020 -1.16% -3.08%
15 de julio de 2020 -3.33% -4.00%
14 de julio de 2020 1.59% 2.07%
13 de julio de 2020 2.13% -0.29%
10 de julio de 2020 -0.07% 0.44%
Julio 09, 2020 -3.67% -3.49%
8-Jul-20 -1.69% -1.82%
Julio 07, 2020 -0.62% -1.33%
6-Jul-20 1.96% 1.55%
03 de julio de 2020 0.58% 0.59%
02 de julio de 2020 3.49% 3.15%
1-Jul-20 1.97% 1.96%
30 de junio de 2020 -0.80% -0.47%
26 de junio de 2020 -1.17% -1.08%
25 de junio de 2020 0.05% -0.50%
24 de junio de 2020 0.11% -1.66%
23 de junio de 2020 0.83% 0.23%
22 de junio de 2020 -0.70% -1.67%
19 de junio de 2020 0.90% 1.52%
18 de junio de 2020 -0.15% -0.97%
17 de junio de 2020 1.44% 2.56%
16 de junio de 2020 1.20% 1.93%
15 de junio de 2020 -2.23% -2.97%
12 de junio de 2020 0.95% 0.58%
11 de junio de 2020 -2.94% -2.84%
10 de junio de 2020 -1.51% -2.45%
Junio ​09, 2020 -0.33% -1.49%
8-Jun-20 2.64% 1.51%
04 de junio de 2020 1.35% 2.54%
03 de junio de 2020 2.22% 1.49%
02 de junio de 2020 1.75% 2.14%
1-Jun-20 1.05% -0.92%
29 de mayo de 2020 -0.29% 0.77%
27 de mayo de 2020 0.95% 3.06%
26 de mayo de 2020 -0.47% 0.97%
25 de mayo de 2020 0.75% 2.97%
22 de mayo de 2020 -0.84% -0.22%
20 de mayo de 2020 0.67% 0.63%
19 de mayo de 2020 -0.88% -2.54%
18 de mayo de 2020 3.89% 4.17%
15 de mayo de 2020 -0.54% -1.54%
14 de mayo de 2020 1.02% 3.54%
13 de mayo de 2020 -3.48% -4.20%
12 de mayo de 2020 -2.02% -2.40%
11 de mayo de 2020 -0.17% -2.05%
07 de mayo de 2020 0.87% -0.69%
06 de mayo de 2020 1.08% 1.88%
05 de mayo de 2020 1.79% 3.01%
04 de mayo de 2020 -3.12% -3.71%
30-Apr-20 -0.93% 1.24%
29 de abril de 2020 2.92% 5.70%
28-Apr-20 2.34% 5.05%
24-Apr-20 -1.84% -0.96%
23 de abril de 2020 1.90% -0.03%
22-Apr-20 0.70% 0.64%
21-Apr-20 -2.55% -2.63%
20-Apr-20 -1.87% -2.62%
17 de abril de 2020 0.45% 2.47%
16-Apr-20 -1.36% -4.70%
15 de abril de 2020 -1.66% -3.64%
14-Apr-20 1.57% -1.75%
13-Apr-20 0.97% 0.51%
9-Apr-20 1.66% 0.71%
8-Apr-20 1.30% -2.58%
7-Apr-20 -0.98% -0.88%
6-Apr-20 2.02% 2.83%
3-Apr-20 3.24% -0.28%
1-Apr-20 -1.90% 0.45%
30 de marzo de 2020 2.72% 5.53%
27 de marzo de 2020 0.43% 0.97%
26 de marzo de 2020 2.93% 1.36%
20 de marzo de 2020 -0.14% 5.46%
17 de marzo de 2020 1.21% 5.25%
13 de marzo de 2020 0.96% 1.53%
11 de marzo de 2020 -2.23% -0.85%
Mar 10, 2020 0.86% 2.02%
Mar 06, 2020 -2.19% -3.22%
Mar 05, 2020 -0.97% -0.42%
Mar 04, 2020 1.79% 2.32%
03 de marzo de 2020 0.13% 0.56%
Mar 02, 2020 3.91% 2.00%
28 de febrero de 2020 -3.30% -0.90%
27 de febrero de 2020 -0.80% -1.29%
26 de febrero de 2020 -1.46% 1.44%
25 de febrero de 2020 -1.56% -1.26%
24 de febrero de 2020 -2.25% -3.00%
21 de febrero de 2020 -0.08% 1.29%
20 de febrero de 2020 0.37% 0.69%
19 de febrero de 2020 -0.54% -0.63%
18 de febrero de 2020 -1.89% -3.14%
17 de febrero de 2020 -0.53% -1.09%
14 de febrero de 2020 -0.08% -1.15%
13 de febrero de 2020 -0.17% -0.03%
12 de febrero de 2020 0.16% 0.53%
11 de febrero de 2020 0.71% -0.80%
10 de febrero de 2020 -1.26% -0.96%
7-Feb-20 -0.27% -1.34%
6-Feb-20 0.52% 0.27%
Febrero 05, 2020 0.13% -1.04%
4 de febrero de 2020 1.96% 1.25%
03 de febrero de 2020 0.16% 3.23%
31 de enero de 2020 0.46% 1.49%
30 de enero de 2020 -0.50% -0.10%
29 de enero de 2020 0.08% -2.74%
28 de enero de 2020 0.19% -1.13%
27 de enero de 2020 -1.71% -2.33%
24 de enero de 2020 -0.24% -2.39%
23 de enero de 2020 -0.39% 1.19%
22 de enero de 2020 -0.51% 0.24%
21 de enero de 2020 -2.54% -2.03%
20 de enero de 2020 -1.34% -1.67%
17 de enero de 2020 -0.25% -0.52%
16 de enero de 2020 0.20% -0.95%
15 de enero de 2020 -0.78% -0.56%
14 de enero de 2020 -0.74% -3.58%
13 de enero de 2020 -0.75% -1.16%
10 de enero de 2020 2.00% 0.45%
Enero 09, 2020 -0.23% 0.61%
08 de enero de 2020 -0.07% -0.22%
07 de enero de 2020 0.59% 0.65%
06 de enero de 2020 0.92% 1.59%
03 de enero de 2020 0.73% 1.78%
02 de enero de 2020 2.89% 3.47%
Esperanza (Diaria) 0.02%
Esperanza (anual) 4.72%

Resumen
 Estadísticas de la regresión
Coeficiente de correlació 0.71566325
Coeficiente de determina 0.51217389
R^2 ajustado 0.50979425
Error típico 0.01519912
Observaciones 207

ANÁLISIS DE VARIANZA
Grados de libertad
Suma de cuadrados
Regresión 1 0.0497214
Residuos 205 0.04735774
Total 206 0.09707915

Coeficientes Error típico

Intercepción -7.9844E-05 0.00105657
Variable X 1 1.03999532 0.0708889
 Ri = a + b x Rm + ei
Ri = b x Rm + a

Chart Title
0.08

0.06

0.04
f(x) = 1.03999532257719 x − 7.98442085077608E-05
R² = 0.512173893959685
0.02

0
-0.05 -0.04 -0.03 -0.02 -0.01 0 0.01 0.02 0.03 0.04 0.05

-0.02

-0.04

-0.06

Alfa 0
Beta 1.04
Ri = Alfa + Beta x Rm + Ei
Beta = Ri/Rm => Beta = %Ri / %Rm
Promedio de los cuadradosF Valor crítico de F
0.0497214 215.231713 8.63009E-34
0.00023101

Estadístico t Probabilidad Inferior 95% Superior 95% Inferior 95,0 Superior 95,0%
-0.07556931 94% -0.00216298 0.00200329 -0.00216298 0.00200329
14.6707775 0% 0.90023051 1.17976013 0.90023051 1.17976013
 Te m a I (2Pto s)
Utilidad de la Utilidad Esperada Un a e m p re sa o ste n ta un sa ld o e n d isp o n
Riqueza al final del Riqueza Esperada
Probabilidad Riqueza Riqueza G e re nte d e Fina nza s c re e q u e p o d ría re a
mes (Col A x Col B)
(Raíz de Col B) (Col A x Col C) visua liza nd o e l c o m p o rta m ie n to Bu rsá til p

0.3 $16,500,000 $4,950,000 4,062.0192 1,218.6058

Prob
0.4 $19,000,000 $7,600,000 4,358.8989 1,743.5596
0.3 $21,000,000 $6,300,000 4,582.5757 1,374.7727
Ew = $18,850,000
Riqueza E(Uw) = $18,809,032 E(Uw) = 4,336.9380
Aho ra b ie n e l c re e (y d a d o q ue la m a yo r
Seguro = $-40,968

Inicial final Utilidad

Dise ñe una e stra te g ia q u e p e rm ita h a c e r
C uá l e s e l VAN d e la e stra te g ia ?
Capital $18,400,000 $18,850,000 $450,000 (Asu m a to d o s lo s sup ue sto s q ue se a n n e c

Costo Capital (Intereses

$18,400,000 0.42% $-76,667
Mensuales)

Seguro $-40,968

Beneficio $332,365

1| La estrategia es invertir en el mercado tal como dice el gerente, pero asociar a la inversión
un seguro por si no se logra el resultado esperado el cual tendra un costo de $40,968
2| El Van de la estrategia es de $332,365 dado que con la utidad esperada se paga el seguro
y los intereses que se pierden por no seguir con el deposito al 5% anual
 s)
sa o ste n ta un sa ld o e n d isp o nib le d e M$18.400 q ue se e nc ue ntra e n u n d e p ó sito p la zo a l 5% a n ua l. El
Fina nza s c re e q u e p o d ría re a liza r m e jo re s g e stio ne s e n e l p la zo d e un m e s c o n e l d ine ro , d e b id o a q ue ,
e l c o m p o rta m ie n to Bu rsá til p o d ría o p ta r a lo s sig uie nte s re su lta d o s si invie rte e n a c c io ne s:

Riqueza al
Inicio del Riqueza al
Probabilidad mes final del mes
0,3 18.400.000 16.500.000
0,4 18.400.000 19.000.000
0,3 18.400.000 21.000.000

e l c re e (y d a d o q ue la m a yo ría d e la s ve c e s e s a sí) la fu n c ió n d e utilid a d d e lo s a c c io nista s d e b e se r:

U ( w)  w
e stra te g ia q u e p e rm ita h a c e r re a lid a d la o p inió n d e l G e re nte ?
AN d e la e stra te g ia ?
o s lo s sup ue sto s q ue se a n n e c e sa rio s)
 F Inter F. Nac
Esperanza 4 7
TEMA II (2Pto s)
Varianza 9 16 Un a c u c io so e stu d io p e rm itió id e ntific a r a c ie nc ia c ie rta (5% d e s
Volatilidad 3 4 lo s re to rno s d e d o s fo nd o s q ue e stá n e n e l m e rc a d o c hile n o . El F
Covar 6 lo s re sulta d o s fue ro n:
Volat. Relativ. 0.75 0.57 Retorno
x1 x2 Var p Volat p Ep Fondos Esperado V
Porfolio 1 100% 0% 9.0 3.00 4.0 FI
Porfolio 2 99% 1% 8.9 2.99 4.0 FI 4,0 9,0
Porfolio 3 98% 2% 8.9 2.98 4.1 FN 7,0 6,0
Porfolio 4 97% 3% 8.8 2.97 4.1
Porfolio 5 96% 4% 8.8 2.96 4.1 Se sa b e q ue ho y La fin a nc ie ra La C utufa tie ne inve rtid o USD1.00
d e re nta b ilid a d , lo q ue se c o nsid e ra b ue no d a d o q ue sup ue sta
Porfolio 6 95% 5% 8.7 2.96 4.2
c o n e sto s a c tivo s. Uste d q ue e s un a se so r fina n c ie ro e xc e le nte p
Porfolio 7 94% 6% 8.7 2.95 4.2
h a d e sc u b ie rto q ue a p lic a nd o la te o ría d e d ive rsific a c ió n d e Ma
Porfolio 8 93% 7% 8.6 2.94 4.2 C ua n tifiq ue e l b e ne fic io p a ra La C utu fa d e se g uir su c o n se jo ?
Porfolio 9 92% 8% 8.6 2.93 4.2 En té rm ino s d e la re la c ió n Rie sg o -Re nd im ie nto q ue a c tivo e s m á s
Porfolio 10 91% 9% 8.6 2.93 4.3 C o n e l 90% d e c o nfia nza , e n tre q ue va lo re s d e b e e sta r una c a rte
Porfolio 11 90% 10% 8.5 2.92 4.3 C ua l e s e l Ro e n tre FN y FI?
Porfolio 12 89% 11% 8.5 2.92 4.3
Porfolio 13 88% 12% 8.5 2.91 4.4 1. Si la empresa renta un 4,3% es por que 4x1 + 7x2 = 4,3 y x1 + x2 =1
Porfolio 14 87% 13% 8.4 2.91 4.4 entonces x2 = 1 - x1
Porfolio 15 86% 14% 8.4 2.90 4.4 luego : 4x1 + 7( 1-x1) = 4,3
Porfolio 16 85% 15% 8.4 2.90 4.5 x1= 0.90
Porfolio 17 84% 16% 8.4 2.89 4.5 x2= 0.10
Porfolio 18 83% 17% 8.4 2.89 4.5 Por tanto tiene una volatilidad de 2,915
Porfolio 19 82% 18% 8.3 2.89 4.5
Porfolio 20 81% 19% 8.3 2.89 4.6 pero por el mismo riesgo se puede estar mejor en x1=0,65 y x2=0,35
Porfolio 21 80% 20% 8.3 2.8844 4.6 luego se debe optar por este porfolio
Porfolio 22 79% 21% 8.3 2.8833 4.6
Porfolio 23 78% 22% 8.3 2.8826 4.7 2. La volatilidad relativa del activo a respectro de su propia esperanza es mayo
Porfolio 24 77% 23% 8.3 2.8823 4.7
Porfolio 25 76% 24% 8.3 2.8825 4.7 3. Una rentabilidad de un 5 tiene una volatilidad de 2,9 (podria ser cualqueira
Porfolio 26 75% 25% 8.3 2.8831 4.8 por tanto el intervalo de confianza con un 90% es
Porfolio 27 74% 26% 8.3 2.8842 4.8 Lim Inf =
Porfolio 28 73% 27% 8.3 2.89 4.8 Lim Sup =
Porfolio 29 72% 28% 8.3 2.89 4.8
Porfolio 30 71% 29% 8.4 2.89 4.9
Porfolio 31 70% 30% 8.4 2.89 4.9
Porfolio 32 69% 31% 8.4 2.90 4.9
Porfolio 33 68% 32% 8.4 2.90 5.0
Porfolio 34 67% 33% 8.4 2.90 5.0
Porfolio 35 66% 34% 8.5 2.91 5.0
Porfolio 36 65% 35% 8.5 2.91 5.1
Porfolio 37 64% 36% 8.5 2.92 5.1
Porfolio 38 63% 37% 8.6 2.93 5.1
Porfolio 39 62% 38% 8.6 2.93 5.1
Porfolio 40 61% 39% 8.6 2.94 5.2
Porfolio 41 60% 40% 8.7 2.95 5.2
Porfolio 42 59% 41% 8.7 2.95 5.2
Porfolio 43 58% 42% 8.8 2.96 5.3
Porfolio 44 57% 43% 8.8 2.97 5.3
Porfolio 45 56% 44% 8.9 2.98 5.3
Porfolio 46 55% 45% 8.9 2.99 5.4
Porfolio 47 54% 46% 9.0 3.00 5.4
Porfolio 48 53% 47% 9.1 3.01 5.4
Porfolio 49 52% 48% 9.1 3.02 5.4
Porfolio 50 51% 49% 9.2 3.03 5.5
Porfolio 51 50% 50% 9.3 3.04 5.5
Porfolio 52 49% 51% 9.3 3.05 5.5
Porfolio 53 48% 52% 9.4 3.07 5.6
Porfolio 54 47% 53% 9.5 3.08 5.6
Porfolio 55 46% 54% 9.6 3.09 5.6
Porfolio 56 45% 55% 9.6 3.10 5.7
Porfolio 57 44% 56% 9.7 3.12 5.7
Porfolio 58 43% 57% 9.8 3.13 5.7
Porfolio 59 42% 58% 9.9 3.15 5.7
Porfolio 60 41% 59% 10.0 3.16 5.8
Porfolio 61 40% 60% 10.1 3.17 5.8
Porfolio 62 39% 61% 10.2 3.19 5.8
Porfolio 63 38% 62% 10.3 3.21 5.9
Porfolio 64 37% 63% 10.4 3.22 5.9
Porfolio 65 36% 64% 10.5 3.24 5.9
Porfolio 66 35% 65% 10.6 3.25 6.0
Porfolio 67 34% 66% 10.7 3.27 6.0
Porfolio 68 33% 67% 10.8 3.29 6.0
Porfolio 69 32% 68% 10.9 3.31 6.0
Porfolio 70 31% 69% 11.0 3.32 6.1
Porfolio 71 30% 70% 11.2 3.34 6.1
Porfolio 72 29% 71% 11.3 3.36 6.1
Porfolio 73 28% 72% 11.4 3.38 6.2
Porfolio 74 27% 73% 11.5 3.40 6.2
Porfolio 75 26% 74% 11.7 3.42 6.2
Porfolio 76 25% 75% 11.8 3.44 6.3
Porfolio 77 24% 76% 11.9 3.46 6.3
Porfolio 78 23% 77% 12.1 3.48 6.3
Porfolio 79 22% 78% 12.2 3.50 6.3
Porfolio 80 21% 79% 12.4 3.52 6.4
Porfolio 81 20% 80% 12.5 3.54 6.4
Porfolio 82 19% 81% 12.7 3.56 6.4
Porfolio 83 18% 82% 12.8 3.58 6.5
Porfolio 84 17% 83% 13.0 3.60 6.5
Porfolio 85 16% 84% 13.1 3.62 6.5
Porfolio 86 15% 85% 13.3 3.65 6.6
Porfolio 87 14% 86% 13.5 3.67 6.6
Porfolio 88 13% 87% 13.6 3.69 6.6
Porfolio 89 12% 88% 13.8 3.71 6.6
Porfolio 90 11% 89% 14.0 3.74 6.7
Porfolio 91 10% 90% 14.1 3.76 6.7
Porfolio 92 9% 91% 14.3 3.78 6.7
Porfolio 93 8% 92% 14.5 3.81 6.8
Porfolio 94 7% 93% 14.7 3.83 6.8
Porfolio 95 6% 94% 14.8 3.85 6.8
Porfolio 96 5% 95% 15.0 3.88 6.9
Porfolio 97 4% 96% 15.2 3.90 6.9
Porfolio 98 3% 97% 15.4 3.93 6.9
Porfolio 99 2% 98% 15.6 3.95 6.9
Porfolio 100 1% 99% 15.8 3.98 7.0
ic a r a c ie nc ia c ie rta (5% d e sig nific a nc ia ) la d istrib uc ió n d e p ro b a b ilid a d e s d e
n e n e l m e rc a d o c hile n o . El FI (Fo nd o Inte rna c io na l) y e l FN (Fo nd o Na c io na l),

Retorno
Fondos Esperado Varianzas
FI FN
FI 4,0 9,0 6,0
FN 7,0 6,0 16,0

utufa tie ne inve rtid o USD1.000.000 e n un p o rfo lio q ue p e rm ite e sp e ra r un 4,3%

a b ue no d a d o q ue sup ue sta m e n te e s e l m ínim o rie sg o q ue se p ue d e e sp e ra r
a se so r fina nc ie ro e xc e le nte p ro p o ne q ue se c a m b ie la p o sic ió n d e b id o a q ue
o ría d e d ive rsific a c ió n d e Ma rko w itz p ue d e lo g ra r m e jo re s re sulta d o s
tu fa d e se g uir su c o n se jo ?
nd im ie nto q ue a c tivo e s m á s se g u ro ind ivid ua lm e nte ?
va lo re s d e b e e sta r una c a rte ra q ue te ng a un re to rn o e sp e ra d o d e 5?

4x1 + 7x2 = 4,3 y x1 + x2 =1

4x1+7x2 = 4,3
x1 + x2 =1,0 x1 0.9
x2 = 1 - x1 x2 0.1
4x1+7(1-x1) = 4,3 Var p = 7.29
4x1 + 7 - 7x1 = 4,3 0.16
x1=0,9 / x2=0,1 1.08
ejor en x1=0,65 y x2=0,35 Var p = 8.53
Volat p = 2.92

ctro de su propia esperanza es mayor que la de B (075 v/s 057)

ilidad de 2,9 (podria ser cualqueira de las que tiene un 5)

0.23
9.77
 Activos Pasivos
F. Inter 900
F. Nac 100 Capital 1000
Total Activos 1000 Tatal Pasivos 1000

Activos Pasivos
F. Inter 640
F. Nac 360 Capital 1000
Total Activos 1000 Tatal Pasivos 1000

Vander 260
Comprar -260