RETORNO RETORNO ESPERADO A

ESCENARIOS A B PROBABILIDAD A B RA-E(RA)

AUGE 20% 7% 25% 5% 2% 11.5%
NORMAL 10% 10% 35% 4% 4% 1.5%
RECESIÓN 0% -5% 40% 0% -2% -8.5%
8.5% 3.3%

RIESGO

EJERCICIO
WA 20%
WB 80%

CALCULAR:
1-RETORNO ESPERADO
2-VARIANZA
3-RIESGO PORTAFOLIO
 A B
(RA-E(RA)^2 ((RA-E(RA)^2)*P RB-E(RB) (RB-E(RB)^2 ((RB-E(RB)^2)*P
0.013225 0.00330625 3.75% 0.00140625 0.0003515625
0.000225 0.00007875 6.8% 0.00455625 0.0015946875
0.007225 0.00289 -8.3% 0.00680625 0.0027225

VAR 0.006275 VAR 0.00466875

DESV 7.9% RIESGO DESV 6.8%

PROBABILIDAD
25%
35%
COVARIANZA
0.000123984375
0.000005315625
-0.000238425000

-0.000109125000