Probabilidad Madeco Iansa

Var Madeco
20% -7% 5% 0.0324
20% 10% 8% 0.0001
20% 11% 2% 0
20% 19% -4% 0.0064
20% 22% -1% 0.0121
11.00% 2.00% 0.0102
70% 30%
Rent. Porfolio 8.30%
Var 0.0102 0.0018
Desvest 10.10% 4.24%
COV -0.00282
Correlación -0.65813164
VAR Cartera 0.0039756
Riesgo Cartera 6.31%

SUPUESTO RF (libre Riesgo) 2%

Madeco IANSA Riesgo Retorno

100% 0% 10.10% 11.00%
95% 5% 9.46% 10.55%
90% 10% 8.82% 10.10%
85% 15% 8.18% 9.65%
80% 20% 7.55% 9.20%
Ejercicio en clases 70% 30% 6.31% 8.30%
60% 40% 5.11% 7.40%
55% 45% 4.53% 6.95%
50% 50% 3.99% 6.50%
45% 55% 3.48% 6.05%
Cartera Óptima 40% 60% 3.04% 5.60%
35% 65% 2.70% 5.15%
Mínima Varianza 26.19% 73.81% 2.43% 4.36%
20% 80% 2.56% 3.80%
10% 90% 3.24% 2.90%
0% 100% 4.24% 2.00%
Var IANSA Var Madeco Var COV
0.0009 0.00648 0.00018 -0.0054 -0.00108
0.0036 0.00002 0.00072 -0.0006 -0.00012
0 0 0 0 0
0.0036 0.00128 0.00072 -0.0048 -0.00096
0.0009 0.00242 0.00018 -0.0033 -0.00066
0.0018 0.0102 0.0018 -0.00282 -0.00282

FRONTERA EFICIENTE
Sharpe 12.00%
0.89113
0.90416 10.00%
0.91877
0.93523 8.00%
0.95386
0.99917 6.00%
1.05773
1.09218 4.00%
1.12853
2.00%
1.16233
1.18278
0.00%
1.16835
0.97042
0.70193
0.27743
0.00000