Dado un portfolio compuesto por dos acciones:

Retorno de Retorno de
Estado Pi Acción A Acción B
1 30% 40.0% -5.0%
2 50% 20.0% 15.0%
3 20% -20.0% 20.0%

Determine:
a) Si invierte 60% en la acción A y 40% en la acción B, cuál será la tasa de retorno esperada para cada portfolio y su desviació
b) Varianza del portfolio
c) Desviación estándar del portfolio
d) Covarianza del portfolio
e) Correlación del portfolio
f) Explique el significado del valor obtenido en la correlación
g) Portfolio de mínima varianza
h) Determinar ratio de Sharp
i) Gráfique frontera eficiente
j) Determine portfolio óptimo, ¿Qué representa?
ara cada portfolio y su desviación estándar?
 Retorno de Retorno de
Estado Pi
Acción A Acción B
E(RA) E(RB) Desv A DesvA^2 Desv B

1 30% 40.0% -5.0% 12.0% -1.5% 22.00% 4.84% -15.00%

2 50% 20.0% 15.0% 10.0% 7.5% 2.00% 0.04% 5.00%
3 20% -20.0% 20.0% -4.0% 4.0% -38.00% 14.44% 10.00%
18.0% 10.0%

σ2
σ

Rentabilidad Portafolio 60% A y 40% B

Peso Rentab.
WA 60% 10.8%
WB 40% 4.0%
RP 14.8%
σ2Port(60,40) 0.91%
σPort(60,40) 9.6%

Portafolio de Mínima Varianza

Rt
WA MV 30.8% 5.5%
WB MV 69.2% 6.9%
RP MV 12.5%

Ratio de Sharp - Varianza , Desviación y Gráfico de Frontera eficiente.

σ2A 0.0436 WA WB RA RB E(Rp) σ2P

σ2B 0.01 0% 100% 0.0% 10.0% 10.0% 1.00%
Covar -0.017 10% 90% 1.8% 9.0% 10.8% 0.55%
E(RA) 18.0% 20% 80% 3.6% 8.0% 11.6% 0.27%
 E(RB) 10.0% 30% 70% 5.4% 7.0% 12.4% 0.17%
Rf 7.60% 40% 60% 7.2% 6.0% 13.2% 0.24%
Rf = tasa promedio bonos Banco
Central 10 años CLP. 50% 50% 9.0% 5.0% 14.0% 0.49%
60% 40% 10.8% 4.0% 14.8% 0.91%
70% 30% 12.6% 3.0% 15.6% 1.51%
80% 20% 14.4% 2.0% 16.4% 2.29%
90% 10% 16.2% 1.0% 17.2% 3.24%
100% 0% 18.0% 0.0% 18.0% 4.36%

Portafolio Óptimo (Sharp, ver siguiente hoja excel)

Rt
W A* 34.0% 10.2%
WB * 66.0% 8.3%
RP * 18.5%
 (DesvA*DesvB)*P
DesvB^2 DesvA^2 * Pi DesvB^2*Pi
i

2.25% 1.45% 0.68% -0.99%

0.25% 0.02% 0.13% 0.05%
1.00% 2.89% 0.20% -0.76%

A B Covar -0.017
4.36% 1.0%
20.88% 10.00% Correlación -0.8142

ficiente.

σP Sp
Frontera Eficiente
10.0% 0.2400
7.4% 0.4324 20.0%
18.0%
5.2% 0.7692 16.0%
14.0%
12.0%
E(Rp)

10.0%
8.0%
6.0%
4.0%
 Frontera Eficiente
20.0%
18.0%
16.0%
14.0%
4.1% 1.1697 12.0%
4.9% 1.1393

E(Rp)
10.0%
8.0%
7.0% 0.9143
6.0%
9.6% 0.7533 4.0%
12.3% 0.6505 2.0%
0.0%
15.1% 0.5820 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22%
18.0% 0.5337 σP
20.9% 0.4981
 σ2A 0.0436 WA WB RA RB E(Rp)
σ2B 0.01 0% 100% 0.0% 10.0% 10.0%
Covar -0.017 1% 99% 0.2% 9.9% 10.1%
E(RA) 18.0% 2% 98% 0.4% 9.8% 10.2%
E(RB) 10.0% 3% 97% 0.5% 9.7% 10.2%
Rf 7.60% 4% 96% 0.7% 9.6% 10.3%
Rf = tasa promedio bonos Banco
Central 10 años CLP. 5% 95% 0.9% 9.5% 10.4%
6% 94% 1.1% 9.4% 10.5%
7% 93% 1.3% 9.3% 10.6%
8% 92% 1.4% 9.2% 10.6%
9% 91% 1.6% 9.1% 10.7%
10% 90% 1.8% 9.0% 10.8%
11% 89% 2.0% 8.9% 10.9%
12% 88% 2.2% 8.8% 11.0%
13% 87% 2.3% 8.7% 11.0%
14% 86% 2.5% 8.6% 11.1%
15% 85% 2.7% 8.5% 11.2%
16% 84% 2.9% 8.4% 11.3%
17% 83% 3.1% 8.3% 11.4%
18% 82% 3.2% 8.2% 11.4%
19% 81% 3.4% 8.1% 11.5%
20% 80% 3.6% 8.0% 11.6%
21% 79% 3.8% 7.9% 11.7%
22% 78% 4.0% 7.8% 11.8%
23% 77% 4.1% 7.7% 11.8%
24% 76% 4.3% 7.6% 11.9%
25% 75% 4.5% 7.5% 12.0%
26% 74% 4.7% 7.4% 12.1%
27% 73% 4.9% 7.3% 12.2%
28% 72% 5.0% 7.2% 12.2%
29% 71% 5.2% 7.1% 12.3%
30% 70% 5.4% 7.0% 12.4%
31% 69% 5.6% 6.9% 12.5%
32% 68% 5.8% 6.8% 12.6%
33% 67% 5.9% 6.7% 12.6%
34% 66% 6.1% 6.6% 12.7%
35% 65% 6.3% 6.5% 12.8%
36% 64% 6.5% 6.4% 12.9%
37% 63% 6.7% 6.3% 13.0%
38% 62% 6.8% 6.2% 13.0%
39% 61% 7.0% 6.1% 13.1%
40% 60% 7.2% 6.0% 13.2%
41% 59% 7.4% 5.9% 13.3%
42% 58% 7.6% 5.8% 13.4%
43% 57% 7.7% 5.7% 13.4%
44% 56% 7.9% 5.6% 13.5%
45% 55% 8.1% 5.5% 13.6%
46% 54% 8.3% 5.4% 13.7%
47% 53% 8.5% 5.3% 13.8%
48% 52% 8.6% 5.2% 13.8%
49% 51% 8.8% 5.1% 13.9%
50% 50% 9.0% 5.0% 14.0%
51% 49% 9.2% 4.9% 14.1%
52% 48% 9.4% 4.8% 14.2%
53% 47% 9.5% 4.7% 14.2%
54% 46% 9.7% 4.6% 14.3%
55% 45% 9.9% 4.5% 14.4%
56% 44% 10.1% 4.4% 14.5%
57% 43% 10.3% 4.3% 14.6%
58% 42% 10.4% 4.2% 14.6%
59% 41% 10.6% 4.1% 14.7%
60% 40% 10.8% 4.0% 14.8%
61% 39% 11.0% 3.9% 14.9%
62% 38% 11.2% 3.8% 15.0%
63% 37% 11.3% 3.7% 15.0%
64% 36% 11.5% 3.6% 15.1%
65% 35% 11.7% 3.5% 15.2%
66% 34% 11.9% 3.4% 15.3%
67% 33% 12.1% 3.3% 15.4%
68% 32% 12.2% 3.2% 15.4%
69% 31% 12.4% 3.1% 15.5%
70% 30% 12.6% 3.0% 15.6%
71% 29% 12.8% 2.9% 15.7%
72% 28% 13.0% 2.8% 15.8%
73% 27% 13.1% 2.7% 15.8%
74% 26% 13.3% 2.6% 15.9%
75% 25% 13.5% 2.5% 16.0%
76% 24% 13.7% 2.4% 16.1%
77% 23% 13.9% 2.3% 16.2%
78% 22% 14.0% 2.2% 16.2%
79% 21% 14.2% 2.1% 16.3%
80% 20% 14.4% 2.0% 16.4%
81% 19% 14.6% 1.9% 16.5%
82% 18% 14.8% 1.8% 16.6%
83% 17% 14.9% 1.7% 16.6%
84% 16% 15.1% 1.6% 16.7%
85% 15% 15.3% 1.5% 16.8%
86% 14% 15.5% 1.4% 16.9%
87% 13% 15.7% 1.3% 17.0%
88% 12% 15.8% 1.2% 17.0%
89% 11% 16.0% 1.1% 17.1%
90% 10% 16.2% 1.0% 17.2%
91% 9% 16.4% 0.9% 17.3%
92% 8% 16.6% 0.8% 17.4%
93% 7% 16.7% 0.7% 17.4%
94% 6% 16.9% 0.6% 17.5%
95% 5% 17.1% 0.5% 17.6%
96% 4% 17.3% 0.4% 17.7%
97% 3% 17.5% 0.3% 17.8%
98% 2% 17.6% 0.2% 17.8%
99% 1% 17.8% 0.1% 17.9%
100% 0% 18.0% 0.0% 18.0%
σ2P σP Sp
1.00% 10.0% 0.2400
0.95% 9.7% 0.2549
0.90% 9.5% 0.2705
0.85% 9.2% 0.2870
0.80% 8.9% 0.3045
0.75% 8.7% 0.3229
0.71% 8.4% 0.3424
0.66% 8.2% 0.3630
0.62% 7.9% 0.3848
0.58% 7.6% 0.4079
0.55% 7.4% 0.4324
0.51% 7.2% 0.4584
0.48% 6.9% 0.4859
0.45% 6.7% 0.5151
0.42% 6.4% 0.5460
0.39% 6.2% 0.5786
0.36% 6.0% 0.6131
0.34% 5.8% 0.6495
0.31% 5.6% 0.6877
0.29% 5.4% 0.7276
0.27% 5.2% 0.7692
0.25% 5.0% 0.8122
0.24% 4.9% 0.8564
0.22% 4.7% 0.9011
0.21% 4.6% 0.9459
0.20% 4.4% 0.9901
0.19% 4.3% 1.0328
0.18% 4.2% 1.0730
0.17% 4.2% 1.1099
0.17% 4.1% 1.1424
0.17% 4.1% 1.1697
0.17% 4.1% 1.1912
0.17% 4.1% 1.2064
0.17% 4.1% 1.2154
0.18% 4.2% 1.2182 --> Máximo
0.18% 4.3% 1.2152
0.19% 4.4% 1.2072
0.20% 4.5% 1.1948
0.21% 4.6% 1.1789
0.23% 4.8% 1.1601
0.24% 4.9% 1.1393
0.26% 5.1% 1.1170
0.28% 5.3% 1.0939
0.30% 5.5% 1.0703
0.32% 5.7% 1.0466
0.34% 5.9% 1.0231
0.37% 6.1% 1.0001
0.40% 6.3% 0.9776
0.43% 6.5% 0.9557
0.46% 6.8% 0.9346
0.49% 7.0% 0.9143
0.52% 7.2% 0.8948
0.56% 7.5% 0.8761
0.60% 7.7% 0.8582
0.64% 8.0% 0.8410
0.68% 8.2% 0.8247
0.72% 8.5% 0.8091
0.77% 8.8% 0.7941
0.81% 9.0% 0.7799
0.86% 9.3% 0.7663
0.91% 9.6% 0.7533
0.97% 9.8% 0.7409
1.02% 10.1% 0.7290
1.07% 10.4% 0.7176
1.13% 10.6% 0.7068
1.19% 10.9% 0.6964
1.25% 11.2% 0.6864
1.31% 11.5% 0.6769
1.38% 11.7% 0.6677
1.44% 12.0% 0.6589
1.51% 12.3% 0.6505
1.58% 12.6% 0.6424
1.65% 12.9% 0.6346
1.73% 13.1% 0.6272
1.80% 13.4% 0.6200
1.88% 13.7% 0.6130
1.96% 14.0% 0.6064
2.04% 14.3% 0.5999
2.12% 14.6% 0.5937
2.20% 14.8% 0.5878
2.29% 15.1% 0.5820
2.37% 15.4% 0.5764
2.46% 15.7% 0.5710
2.55% 16.0% 0.5658
2.65% 16.3% 0.5608
2.74% 16.6% 0.5559
2.83% 16.8% 0.5512
2.93% 17.1% 0.5466
3.03% 17.4% 0.5422
3.13% 17.7% 0.5379
3.24% 18.0% 0.5337
3.34% 18.3% 0.5297
3.45% 18.6% 0.5257
3.55% 18.9% 0.5219
3.66% 19.1% 0.5182
3.78% 19.4% 0.5146
3.89% 19.7% 0.5111
4.00% 20.0% 0.5077
4.12% 20.3% 0.5044
4.24% 20.6% 0.5012
4.36% 20.9% 0.4981