Semana 3

Ejercicios resueltos: Planificación de Portafolios, rendimiento y riesgo

Estimado estudiante:
Le pidieron su consejo para seleccionar una cartera de activos y le proporcionaron los
datos siguientes:

Rendimiento Esperado (%)

Accion A Accion B Accion C Año
14% 8% 7% 2017
13% 6% 7% 2018
6% 4% 8% 2019
8% 4% 11% 2020
9% 3% 12% 2021

Responda a la preguntas:

a) ¿Cuál es el rendimiento promedio esperado de cada activo durante el periodo 2017-

2021?
b) ¿Cuál es el riesgo de cada activo?
c) Si elige el par de acciones con la menor correlación, ¿Cuál es el rendimiento mínimo
que exigiría para esa cartera?
d) ¿Cuál es el riesgo mínimo de la cartera seleccionada en el punto anterior?
Matriz de varianzas y covarianzas de las tres acciones, agrupadas en pares.

Rentabilidades Varianzas
Accion A Accion B Accion C Accion A
Diferencias Potencia
14.00% 8.00% 7.00% 0.0400 0.0016
13.00% 6.00% 7.00% 0.0300 0.0009
6.00% 4.00% 8.00% -0.0400 0.0016
8.00% 4.00% 11.00% -0.0200 0.0004
9.00% 3.00% 12.00% -0.0100 0.0001

Rendimiento
promedio
10.00% 5.00% 9.00% Varianza A 0.0011
esperado de
cada activo

Matriz de Varianzas y Covarianzas Riesgo A 3.24%

VAR / COV A B C
A 0.0011 0.0004 -0.0002
B 0.0004 0.0003 -0.0004
C -0.0002 -0.0004 0.0007
 Varianzas Covarianzas
Accion B Accion C A vs B A vs C B vs C
Diferencias Potencia Diferencias Potencia
0.0300 0.0009 -0.0200 0.0004 0.0012 -0.0008 -0.0006
0.0100 0.0001 -0.0200 0.0004 0.0003 -0.0006 -0.0002
-0.0100 0.0001 -0.0100 0.0001 0.0004 0.0004 0.0001
-0.0100 0.0001 0.0200 0.0004 0.0002 -0.0004 -0.0002
-0.0200 0.0004 0.0300 0.0009 0.0002 -0.0003 -0.0006

Varianza B 0.0003 Varianza C 0.0007 0.0004 -0.0002 -0.0004

Riesgo B 1.73% Riesgo C 2.65%

Posibles combinaciones de portafolios y cálculos de riesgo mínimo de portafolio

rp = W1r1 + W2r2
WB WC RpBC VarpBC DesvpBC σp2 = w12σ12 + w22σ22 + 2W1W2 Cov(r1r2)
1% 99% 8.96% 0.000679 2.61%
2% 98% 8.92% 0.000659 2.57% Varianza Mínima
3% 97% 8.88% 0.000639 2.53%
4% 96% 8.84% 0.000619 2.49%
5% 95% 8.80% 0.000599 2.45%

W1 =
6% 94% 8.76% 0.000580 2.41%
7% 93% 8.72% 0.000561 2.37%
8% 92% 8.68% 0.000543 2.33%
9% 91% 8.64% 0.000525 2.29%
10% 90% 8.60% 0.000507 2.25%
11% 89% 8.56% 0.000490 2.21%
12% 88% 8.52% 0.000472 2.17%

W2
13% 87% 8.48% 0.000456 2.13%
14% 86% 8.44% 0.000439 2.10%
15% 85% 8.40% 0.000423 2.06%
16% 84% 8.36% 0.000408 2.02%
17% 83% 8.32% 0.000392 1.98% WB =

18% 82% 8.28% 0.000377 1.94% WC =

19% 81% 8.24% 0.000362 1.90% RB
20% 80% 8.20% 0.000348 1.87% RC
21% 79% 8.16% 0.000334 1.83% VARB
22% 78% 8.12% 0.000320 1.79% VARC
23% 77% 8.08% 0.000307 1.75% COVBC
24% 76% 8.04% 0.000294 1.71%
25% 75% 8.00% 0.000281 1.68%
26% 74% 7.96% 0.000269 1.64%
27% 73% 7.92% 0.000257 1.60%
28% 72% 7.88% 0.000245 1.57%
29% 71% 7.84% 0.000234 1.53%
30% 70% 7.80% 0.000223 1.49%
31% 69% 7.76% 0.000212 1.46%
32% 68% 7.72% 0.000202 1.42%
33% 67% 7.68% 0.000192 1.39%
34% 66% 7.64% 0.000183 1.35%
35% 65% 7.60% 0.000173 1.32%
36% 64% 7.56% 0.000164 1.28%
37% 63% 7.52% 0.000156 1.25%
38% 62% 7.48% 0.000147 1.21%
39% 61% 7.44% 0.000140 1.18%
40% 60% 7.40% 0.000132 1.15%
41% 59% 7.36% 0.000125 1.12%
42% 58% 7.32% 0.000118 1.09%
43% 57% 7.28% 0.000111 1.06%
44% 56% 7.24% 0.000105 1.03%
45% 55% 7.20% 0.000099 1.00%
46% 54% 7.16% 0.000094 0.97%
47% 53% 7.12% 0.000089 0.94%
48% 52% 7.08% 0.000084 0.91%
49% 51% 7.04% 0.000079 0.89%
50% 50% 7.00% 0.000075 0.87%
51% 49% 6.96% 0.000071 0.84%
52% 48% 6.92% 0.000068 0.82%
53% 47% 6.88% 0.000065 0.80%
54% 46% 6.84% 0.000062 0.79%
55% 45% 6.80% 0.000059 0.77%
56% 44% 6.76% 0.000057 0.76%
57% 43% 6.72% 0.000055 0.74%
58% 42% 6.68% 0.000054 0.73%
59% 41% 6.64% 0.000053 0.73%
60% 40% 6.60% 0.000052 0.72%
61% 39% 6.56% 0.000052 0.72%
62% 38% 6.52% 0.000051 0.72%
63% 37% 6.48% 0.000052 0.72%
64% 36% 6.44% 0.000052 0.72%
65% 35% 6.40% 0.000053 0.73%
66% 34% 6.36% 0.000055 0.74%
67% 33% 6.32% 0.000056 0.75%
68% 32% 6.28% 0.000058 0.76%
69% 31% 6.24% 0.000060 0.78%
70% 30% 6.20% 0.000063 0.79%
71% 29% 6.16% 0.000066 0.81%
72% 28% 6.12% 0.000069 0.83%
73% 27% 6.08% 0.000073 0.85%
74% 26% 6.04% 0.000077 0.88%
75% 25% 6.00% 0.000081 0.90%
76% 24% 5.96% 0.000086 0.93%
77% 23% 5.92% 0.000091 0.95%
78% 22% 5.88% 0.000096 0.98%
79% 21% 5.84% 0.000102 1.01%
80% 20% 5.80% 0.000108 1.04%
81% 19% 5.76% 0.000114 1.07%
82% 18% 5.72% 0.000121 1.10%
83% 17% 5.68% 0.000128 1.13%
84% 16% 5.64% 0.000136 1.16%
85% 15% 5.60% 0.000143 1.20%
86% 14% 5.56% 0.000151 1.23%
87% 13% 5.52% 0.000160 1.26%
88% 12% 5.48% 0.000168 1.30%
 89% 11% 5.44% 0.000178 1.33%
90% 10% 5.40% 0.000187 1.37%
91% 9% 5.36% 0.000197 1.40%
92% 8% 5.32% 0.000207 1.44%
93% 7% 5.28% 0.000217 1.47%
94% 6% 5.24% 0.000228 1.51%
95% 5% 5.20% 0.000239 1.55%
96% 4% 5.16% 0.000251 1.58%
97% 3% 5.12% 0.000263 1.62%
98% 2% 5.08% 0.000275 1.66%
99% 1% 5.04% 0.000287 1.69%
Este es el punto de partida, para decidir que combinación de
61.76% 38.24% 6.53% 0.00005147 0.72%
riesgo / rentabilidad estamos dispuestos a aceptar

VAR Mínima = 0.00005147

-
 + 2W1W2 Cov(r1r2)

σ2 - Cov(r1r2)
2
W1 =
σ2σ2 - 2Cov(r1r2)
1 + 2
W2 = (1 - W1)
61.76% Varianza Min Portafolio 0.00005147
Ponderadores
Varianza Mínima
38.24% Riesgo Mínimo Portafolio 0.72%
5.00%
9.00% D Rentabilidad Portafolio 6.53% Es lo mínimo aceptado
0.0003 A
T
0.0007 O
-0.0004 S
 idir que combinación de
estos a aceptar
Matriz de los coeficientes de correlación de las tres acciones, agrupadas en pares.

Matriz de Coeficientes de Correlación

Coef. Corr A B C
 xy
A 1.0000 0.7127 -0.1750
 xy 
B
C
0.7127
-0.1750
1.0000
-0.7638
-0.7638
1.0000  x y
Menor Coeficiente de Correlación
  xy
 xy 
 x y
te de Correlación
 WB WC Rentabilidad Riesgo Frontera Eficiente
1.00% 99.00% 8.96% 2.61%
2.00% 98.00% 8.92% 2.57%
3.00% 97.00% 8.88% 2.53%
4.00% 96.00% 8.84% 2.49% Fronte
5.00% 95.00% 8.80% 2.45%
10.00%
6.00% 94.00% 8.76% 2.41% Riesgo Mín-
imo 0.72%
7.00% 93.00% 8.72% 2.37% 9.00%
8.00% 92.00% 8.68% 2.33% 8.00%
9.00% 91.00% 8.64% 2.29%
7.00%
10.00% 90.00% 8.60% 2.25%
11.00% 89.00% 8.56% 2.21% 6.00%

Rentabilidades
12.00% 88.00% 8.52% 2.17% 5.00%
13.00% 87.00% 8.48% 2.13%
4.00%
14.00% 86.00% 8.44% 2.10%
15.00% 85.00% 8.40% 2.06% 3.00%

16.00% 84.00% 8.36% 2.02% 2.00%

17.00% 83.00% 8.32% 1.98% 1.00%
18.00% 82.00% 8.28% 1.94%
0.00%
19.00% 81.00% 8.24% 1.90% 0.50% 1.00% 1.50
20.00% 80.00% 8.20% 1.87%
21.00% 79.00% 8.16% 1.83%
22.00% 78.00% 8.12% 1.79%
23.00% 77.00% 8.08% 1.75%
24.00% 76.00% 8.04% 1.71%
25.00% 75.00% 8.00% 1.68%
26.00% 74.00% 7.96% 1.64%
27.00% 73.00% 7.92% 1.60%
28.00% 72.00% 7.88% 1.57%
29.00% 71.00% 7.84% 1.53%
30.00% 70.00% 7.80% 1.49%
31.00% 69.00% 7.76% 1.46%
32.00% 68.00% 7.72% 1.42%
33.00% 67.00% 7.68% 1.39%
34.00% 66.00% 7.64% 1.35%
35.00% 65.00% 7.60% 1.32%
36.00% 64.00% 7.56% 1.28%
37.00% 63.00% 7.52% 1.25%
38.00% 62.00% 7.48% 1.21%
39.00% 61.00% 7.44% 1.18%
40.00% 60.00% 7.40% 1.15%
41.00% 59.00% 7.36% 1.12%
42.00% 58.00% 7.32% 1.09%
43.00% 57.00% 7.28% 1.06%
44.00% 56.00% 7.24% 1.03%
45.00% 55.00% 7.20% 1.00%
46.00% 54.00% 7.16% 0.97%
47.00% 53.00% 7.12% 0.94%
48.00% 52.00% 7.08% 0.91%
49.00% 51.00% 7.04% 0.89%
50.00% 50.00% 7.00% 0.87%
51.00% 49.00% 6.96% 0.84%
52.00% 48.00% 6.92% 0.82%
53.00% 47.00% 6.88% 0.80%
54.00% 46.00% 6.84% 0.79%
55.00% 45.00% 6.80% 0.77%
56.00% 44.00% 6.76% 0.76%
57.00% 43.00% 6.72% 0.74%
58.00% 42.00% 6.68% 0.73%
59.00% 41.00% 6.64% 0.73%
60.00% 40.00% 6.60% 0.72%
61.00% 39.00% 6.56% 0.72%
62.00% 38.00% 6.52% 0.72%
63.00% 37.00% 6.48% 0.72%
64.00% 36.00% 6.44% 0.72%
65.00% 35.00% 6.40% 0.73%
66.00% 34.00% 6.36% 0.74%
67.00% 33.00% 6.32% 0.75%
68.00% 32.00% 6.28% 0.76%
69.00% 31.00% 6.24% 0.78%
70.00% 30.00% 6.20% 0.79%
71.00% 29.00% 6.16% 0.81%
72.00% 28.00% 6.12% 0.83%
73.00% 27.00% 6.08% 0.85%
74.00% 26.00% 6.04% 0.88%
75.00% 25.00% 6.00% 0.90%
76.00% 24.00% 5.96% 0.93%
77.00% 23.00% 5.92% 0.95%
78.00% 22.00% 5.88% 0.98%
79.00% 21.00% 5.84% 1.01%
80.00% 20.00% 5.80% 1.04%
81.00% 19.00% 5.76% 1.07%
82.00% 18.00% 5.72% 1.10%
83.00% 17.00% 5.68% 1.13%
84.00% 16.00% 5.64% 1.16%
85.00% 15.00% 5.60% 1.20%
86.00% 14.00% 5.56% 1.23%
87.00% 13.00% 5.52% 1.26%
88.00% 12.00% 5.48% 1.30%
89.00% 11.00% 5.44% 1.33%
90.00% 10.00% 5.40% 1.37%
91.00% 9.00% 5.36% 1.40%
92.00% 8.00% 5.32% 1.44%
93.00% 7.00% 5.28% 1.47%
94.00% 6.00% 5.24% 1.51%
95.00% 5.00% 5.20% 1.55%
96.00% 4.00% 5.16% 1.58%
97.00% 3.00% 5.12% 1.62%
98.00% 2.00% 5.08% 1.66%
99.00% 1.00% 5.04% 1.69%
61.76% 38.24% 6.53% 0.72%
 Frontera Efi ciente
Riesgo Mín-
imo 0.72%

1.00% 1.50% 2.00% 2.50% 3.00%

Riesgos