Anlisis de carteras 4 - Uso de la bsqueda de objetivo en el modelo con opciones

En el archivo Anlisis de carteras 2 - Modelo con opciones, vimos que la cartera con opciones tiene un resultado medio
que la cartera sin opciones (9.4% respecto al 9.8%), pero tiene un VAR mejor (una prdida del 6.0% respecto al 7.4%). Ta
quiera optar por un punto intermedio: un resultado medio de la cartera mayor y un VAR tambin mayor. Para ello, se pu
herramienta de bsqueda de objetivo de @RISK.

El modelo actual se centra en una nica accin, la accin 3 del modelo original. Si no se compra ninguna opcin, la media
resultado de la cartera son de aproximadamente el 8.8% y una prdida del 24.7%. Si se compran 4 opciones con un preci
$90, estos valores cambian a aproximadamente el 8.2% y el 20.2%. (Puede ejecutar la simulacin para comprobar estos
nmeros.) Se puede utilizar la bsqueda de objetivo para determinar el precio de ejercicio que debe elegirse para forzar
medio de la cartera tenga un valor superior, 8.6%.

Las configuraciones de bsqueda de objetivo se han guardado con este archivo, por lo que si selecciona Bsqueda de ob
desplegable Anlisis avanzado, ver cmo se han rellenado los cuadros de dilogo. Al ejecutar la bsqueda de objeto, de
de la celda que cambia correcta es aproximadamente $78, aunque este valor variar ligeramente de una ejecucin a otra
valor en la celda C8, ver que el resultado medio de la cartera es de aproximadamente 8.6%, pero tambin ver que el V
nmero negativo mayor).
Nota: Se requiere la edicin Industrial o Professional para utilizar la funcin Bsqueda de objetivo de @RISK.

o con opciones

ene un resultado medio de la cartera peor

0% respecto al 7.4%). Tal vez el inversor
n mayor. Para ello, se puede utilizar la

ninguna opcin, la media y el VAR del

n 4 opciones con un precio de ejercicio de
n para comprobar estos dos ltimos
debe elegirse para forzar que el resultado

ecciona Bsqueda de objetivo en el men

a bsqueda de objeto, deber ver que el valor
e de una ejecucin a otra. Si escribe este
ro tambin ver que el VAR empeora (un

vo de @RISK.

Modelo de ejemplo de bsqueda de objetivos var

Palisade Corporation

Entradas conocidas
Precio actual de las acciones
Acciones compradas
Tiempo que se conservarn (en aos)
Tasa de crecimiento anual media
Volatibilidad anual
Precio de ejercicio de la opcin
Opciones compradas
Acciones por opcin
Precio por opcin
Tasa libre de riesgo

Accin3
$92.97
1500
0.5
16.86%
29.74%
$90.00
4
100
$515.60
5.50%

Entrada incierta
Precio de la accin al vencimiento

#NAME?

Salidas
Resultado de la cartera sin opciones
Valor de opcin al vencimiento
Resultado de la cartera con opciones

#NAME?
#NAME?
#NAME?

Estadsticos de resumen sin opciones

Resultado medio de la cartera
Probabilidad de retorno positivo
VAR del resultado de la cartera

#NAME?
#NAME?
#NAME?

Estadsticos de resumen con opciones

Resultado medio de la cartera
Probabilidad de retorno positivo
VAR del resultado de la cartera

#NAME?
#NAME?
#NAME?

Clculos de Black-Scholes para la opcin

Accin3
d1
0.390336
d2
0.180077
N(d1)
0.348144
N(d2)
0.428546
Precio
$515.60

Pgina 3

Modelo de ejemplo de bsqueda de objetivos var

Palisade Corporation

a opcin

Pgina 4

Mes
1/1/1998
2/1/1998
3/1/1998
4/1/1998
5/1/1998
6/1/1998
7/1/1998
8/1/1998
9/1/1998
10/1/1998
11/1/1998
12/1/1998
1/1/1999
2/1/1999
3/1/1999
4/1/1999
5/1/1999
6/1/1999
7/1/1999
8/1/1999
9/1/1999
10/1/1999
11/1/1999
12/1/1999
1/1/2000
2/1/2000
3/1/2000
4/1/2000
5/1/2000
6/1/2000
7/1/2000
8/1/2000
9/1/2000
10/1/2000
11/1/2000
12/1/2000
1/1/2001
2/1/2001
3/1/2001
4/1/2001
5/1/2001
6/1/2001
7/1/2001
8/1/2001
9/1/2001

Precios de cierre
Accin1 Accin2
7.32
2.99
7.70
2.98
7.81
3.10
7.78
3.09
9.08
3.35
9.03
3.37
8.29
3.48
7.21
3.02
6.38
2.67
6.42
2.55
7.03
2.69
7.16
2.84
7.65
3.17
8.72
3.39
8.41
3.47
8.15
3.53
8.21
3.88
7.89
3.72
8.56
3.68
8.42
3.76
8.08
3.51
8.43
3.49
7.44
3.28
8.13
3.90
9.70
3.84
10.93
4.01
10.78
3.89
10.38
3.94
10.82
3.92
10.29
4.02
10.27
3.96
9.84
3.83
10.34
4.08
11.25
4.00
12.05
4.34
12.28
4.49
13.05
4.52
12.69
4.42
12.72
4.72
11.67
4.80
12.60
4.91
11.67
5.10
10.75
5.25
11.26
5.24
10.83
5.14

Accin3
17.23
18.37
18.77
19.28
21.46
21.01
19.94
18.43
19.24
19.08
20.78
20.67
23.18
23.78
21.03
19.02
19.83
18.15
18.92
18.32
19.60
18.58
17.71
17.04
17.23
16.86
16.20
17.61
17.84
19.24
18.63
17.26
16.09
13.32
13.84
10.22
10.45
11.15
10.43
9.97
10.93
10.23
9.22
9.54
8.75

Accin4
4.34
4.47
4.68
4.72
5.35
5.68
5.92
5.53
5.33
5.42
5.91
6.08
6.48
6.98
8.15
8.04
7.74
7.13
7.82
7.97
7.58
8.16
8.30
9.86
9.26
8.75
8.43
8.20
8.41
7.77
8.56
8.62
8.23
8.73
8.84
8.86
7.72
7.49
7.51
7.69
7.91
7.36
6.47
7.28
7.03

Accin5
6.06
5.87
5.91
5.63
6.46
6.63
5.86
5.22
4.87
4.73
5.28
5.47
5.35
5.94
6.54
6.31
6.61
6.21
6.18
6.18
6.63
6.58
6.38
7.21
8.26
7.71
7.59
8.44
8.94
8.77
8.37
8.12
8.48
8.77
9.39
9.34
9.31
9.72
10.15
9.24
9.55
9.45
9.91
10.36
10.00

LN(1+devolucin)
Accin1 Accin2
5.06%
1.42%
-0.38%
15.45%
-0.55%
-8.55%
-13.96%
-12.23%
0.63%
9.08%
1.83%
6.62%
13.09%
-3.62%
-3.14%
0.73%
-3.98%
8.15%
-1.65%
-4.12%
4.24%
-12.49%
8.87%
17.66%
11.94%
-1.38%
-3.78%
4.15%
-5.02%
-0.19%
-4.28%
4.96%
8.43%
6.87%
1.89%
6.08%
-2.80%
0.24%
-8.62%
7.67%
-7.67%
-8.21%
4.64%
-3.89%

-0.34%
3.95%
-0.32%
8.08%
0.60%
3.21%
-14.18%
-12.32%
-4.60%
5.34%
5.43%
10.99%
6.71%
2.33%
1.71%
9.45%
-4.21%
-1.08%
2.15%
-6.88%
-0.57%
-6.21%
17.31%
-1.55%
4.33%
-3.04%
1.28%
-0.51%
2.52%
-1.50%
-3.34%
6.32%
-1.98%
8.16%
3.40%
0.67%
-2.24%
6.57%
1.68%
2.27%
3.80%
2.90%
-0.19%
-1.93%

Accin3
6.41%
2.15%
2.68%
10.71%
-2.12%
-5.23%
-7.87%
4.30%
-0.84%
8.54%
-0.53%
11.46%
2.56%
-12.29%
-10.05%
4.17%
-8.85%
4.15%
-3.22%
6.75%
-5.34%
-4.80%
-3.86%
1.11%
-2.17%
-3.99%
8.35%
1.30%
7.55%
-3.22%
-7.64%
-7.02%
-18.89%
3.83%
-30.32%
2.23%
6.48%
-6.68%
-4.51%
9.19%
-6.62%
-10.39%
3.41%
-8.64%

10/1/2001
11/1/2001
12/1/2001
1/1/2002
2/1/2002
3/1/2002
4/1/2002
5/1/2002
6/1/2002
7/1/2002
8/1/2002
9/1/2002
10/1/2002
11/1/2002
12/1/2002
1/1/2003
2/1/2003
3/1/2003
4/1/2003
5/1/2003
6/1/2003
7/1/2003
8/1/2003
9/1/2003
10/1/2003
11/1/2003
12/1/2003
1/1/2004
2/1/2004
3/1/2004
4/1/2004
5/1/2004
6/1/2004
7/1/2004
8/1/2004
9/1/2004
10/1/2004
11/1/2004
12/1/2004
1/1/2005
2/1/2005
3/1/2005
4/1/2005
5/1/2005
6/1/2005
7/1/2005
8/1/2005

12.35
11.46
12.25
13.59
13.81
12.08
12.25
12.50
12.00
12.23
11.91
11.19
11.43
12.58
13.31
14.74
15.47
15.50
16.07
16.11
16.11
17.04
16.35
16.68
16.78
17.51
17.17
18.73
19.10
18.63
18.11
17.74
18.37
16.28
16.68
18.51
19.31
21.66
20.45
21.40
21.80
21.40
24.05
24.08
23.61
23.81
22.63

5.20
5.28
5.66
5.82
5.69
5.44
5.18
5.41
5.11
5.52
5.45
5.31
5.40
5.08
5.68
5.73
6.09
6.05
6.28
6.50
6.37
6.66
6.65
7.25
7.19
7.63
8.24
8.78
8.64
8.96
8.89
9.52
9.98
9.52
9.62
10.58
11.25
12.09
11.56
12.10
12.02
11.66
13.04
14.19
15.27
16.54
14.76

9.59
11.29
11.83
11.83
11.13
11.49
12.10
13.31
12.42
13.08
14.53
14.77
15.81
15.06
15.65
15.35
16.07
17.54
20.21
19.92
20.56
23.32
22.19
20.29
20.88
20.79
19.66
23.35
26.45
23.99
23.24
23.10
21.42
23.26
24.83
27.03
28.00
34.69
32.98
34.15
31.36
29.95
35.02
37.75
39.38
46.15
44.32

7.52
7.84
8.06
7.61
7.25
6.82
7.48
8.05
7.81
8.56
9.18
9.48
10.00
9.83
10.08
10.70
10.50
11.01
12.03
12.30
12.55
13.34
12.89
13.85
15.23
16.25
16.04
18.01
17.60
17.37
17.41
18.41
18.71
18.05
18.69
19.44
18.69
20.28
18.95
21.99
21.97
20.20
23.35
23.00
24.68
23.82
21.82

11.11
11.32
11.01
11.73
11.73
11.00
11.61
11.99
11.19
10.51
10.97
10.24
11.22
11.04
11.39
12.70
12.97
13.31
13.65
14.80
15.29
15.09
14.29
14.97
16.05
17.50
17.69
19.70
19.63
18.84
18.80
18.92
18.38
18.24
18.26
18.66
17.52
18.44
17.90
17.95
17.09
18.67
21.14
19.88
19.12
21.27
18.75

13.13%
-7.48%
6.67%
10.38%
1.61%
-13.38%
1.40%
2.02%
-4.08%
1.90%
-2.65%
-6.24%
2.12%
9.59%
5.64%
10.20%
4.83%
0.19%
3.61%
0.25%
0.00%
5.61%
-4.13%
2.00%
0.60%
4.26%
-1.96%
8.70%
1.96%
-2.49%
-2.83%
-2.06%
3.49%
-12.08%
2.43%
10.41%
4.23%
11.48%
-5.75%
4.54%
1.85%
-1.85%
11.67%
0.12%
-1.97%
0.84%
-5.08%

1.16%
1.53%
6.95%
2.79%
-2.26%
-4.49%
-4.90%
4.34%
-5.70%
7.72%
-1.28%
-2.60%
1.68%
-6.11%
11.16%
0.88%
6.09%
-0.66%
3.73%
3.44%
-2.02%
4.45%
-0.15%
8.64%
-0.83%
5.94%
7.69%
6.35%
-1.61%
3.64%
-0.78%
6.85%
4.72%
-4.72%
1.04%
9.51%
6.14%
7.20%
-4.48%
4.57%
-0.66%
-3.04%
11.19%
8.45%
7.34%
7.99%
-11.39%

9.17%
16.32%
4.67%
0.00%
-6.10%
3.18%
5.17%
9.53%
-6.92%
5.18%
10.51%
1.64%
6.80%
-4.86%
3.84%
-1.94%
4.58%
8.75%
14.17%
-1.45%
3.16%
12.60%
-4.97%
-8.95%
2.87%
-0.43%
-5.59%
17.20%
12.47%
-9.76%
-3.18%
-0.60%
-7.55%
8.24%
6.53%
8.49%
3.53%
21.42%
-5.06%
3.49%
-8.52%
-4.60%
15.64%
7.51%
4.23%
15.86%
-4.05%

9/1/2005
10/1/2005
11/1/2005
12/1/2005
1/1/2006
2/1/2006
3/1/2006
4/1/2006
5/1/2006
6/1/2006
7/1/2006
8/1/2006
9/1/2006
10/1/2006
11/1/2006
12/1/2006
1/1/2007
2/1/2007
3/1/2007
4/1/2007
5/1/2007
6/1/2007
7/1/2007
8/1/2007
9/1/2007
10/1/2007
11/1/2007
12/1/2007

23.75
24.31
28.02
29.21
31.58
33.08
31.54
36.86
33.51
31.09
30.62
24.39
22.55
24.00
28.68
26.72
29.40
31.35
27.72
28.28
25.94
27.45
24.55
24.72
23.16
23.66
25.10
25.21

16.12
15.30
17.49
17.45
18.43
18.49
20.58
20.34
19.90
21.69
21.42
19.16
19.12
21.03
21.72
24.60
25.30
24.20
26.78
25.51
24.62
27.35
26.47
27.27
28.87
33.00
31.69
32.76

46.34
43.06
47.97
45.83
43.26
45.84
45.59
50.86
51.67
50.49
58.27
49.61
56.60
65.41
72.85
81.34
80.84
74.98
78.30
92.41
102.60
114.32
111.17
110.28
107.13
86.98
91.36
91.68

22.20
22.08
24.31
25.44
25.86
29.20
28.46
27.70
26.85
28.77
30.04
26.92
30.53
31.79
31.79
32.82
33.30
33.50
36.69
38.26
36.45
38.57
35.84
40.36
36.27
41.35
41.07
40.57

18.88
17.76
19.26
18.96
18.71
21.70
23.86
24.61
26.13
27.48
26.60
22.48
23.80
26.74
27.97
30.67
31.47
33.94
36.22
33.88
30.82
32.92
33.37
33.16
34.66
33.06
36.70
36.92

Medias mensuales
Desv est mensuales
Medias anuales
Desv est anuales

4.83%
2.33%
14.20%
4.16%
7.80%
4.64%
-4.77%
15.59%
-9.53%
-7.50%
-1.52%
-22.75%
-7.84%
6.23%
17.81%
-7.08%
9.56%
6.42%
-12.31%
2.00%
-8.64%
5.66%
-11.17%
0.69%
-6.52%
2.14%
5.91%
0.44%

8.81%
-5.22%
13.38%
-0.23%
5.46%
0.33%
10.71%
-1.17%
-2.19%
8.61%
-1.25%
-11.15%
-0.21%
9.52%
3.23%
12.45%
2.81%
-4.45%
10.13%
-4.86%
-3.55%
10.52%
-3.27%
2.98%
5.70%
13.37%
-4.05%
3.32%

4.46%
-7.34%
10.80%
-4.56%
-5.77%
5.79%
-0.55%
10.94%
1.58%
-2.31%
14.33%
-16.09%
13.18%
14.47%
10.77%
11.02%
-0.62%
-7.53%
4.33%
16.57%
10.46%
10.82%
-2.79%
-0.80%
-2.90%
-20.84%
4.91%
0.35%

1.04%
7.31%

2.01%
5.73%

1.40%
8.58%

12.47%
25.34%

24.14%
19.85%

16.86%
29.74%

Accin4

Accin5

2.95%
4.59%
0.85%
12.53%
5.99%
4.14%
-6.81%
-3.68%
1.67%
8.66%
2.84%
6.37%
7.43%
15.50%
-1.36%
-3.80%
-8.21%
9.24%
1.90%
-5.02%
7.37%
1.70%
17.22%
-6.28%
-5.67%
-3.73%
-2.77%
2.53%
-7.92%
9.68%
0.70%
-4.63%
5.90%
1.25%
0.23%
-13.77%
-3.02%
0.27%
2.37%
2.82%
-7.21%
-12.89%
11.80%
-3.49%

-3.19%
0.68%
-4.85%
13.75%
2.60%
-12.35%
-11.57%
-6.94%
-2.92%
11.00%
3.54%
-2.22%
10.46%
9.62%
-3.58%
4.64%
-6.24%
-0.48%
0.00%
7.03%
-0.76%
-3.09%
12.23%
13.60%
-6.89%
-1.57%
10.62%
5.76%
-1.92%
-4.67%
-3.03%
4.34%
3.36%
6.83%
-0.53%
-0.32%
4.31%
4.33%
-9.39%
3.30%
-1.05%
4.75%
4.44%
-3.54%

6.74%
4.17%
2.77%
-5.75%
-4.85%
-6.11%
9.24%
7.34%
-3.03%
9.17%
6.99%
3.22%
5.34%
-1.71%
2.51%
5.97%
-1.89%
4.74%
8.86%
2.22%
2.01%
6.10%
-3.43%
7.18%
9.50%
6.48%
-1.30%
11.58%
-2.30%
-1.32%
0.23%
5.58%
1.62%
-3.59%
3.48%
3.93%
-3.93%
8.16%
-6.78%
14.88%
-0.09%
-8.40%
14.49%
-1.51%
7.05%
-3.55%
-8.77%

10.53%
1.87%
-2.78%
6.33%
0.00%
-6.43%
5.40%
3.22%
-6.91%
-6.27%
4.28%
-6.89%
9.14%
-1.62%
3.12%
10.89%
2.10%
2.59%
2.52%
8.09%
3.26%
-1.32%
-5.45%
4.65%
6.97%
8.65%
1.08%
10.76%
-0.36%
-4.11%
-0.21%
0.64%
-2.90%
-0.76%
0.11%
2.17%
-6.30%
5.12%
-2.97%
0.28%
-4.91%
8.84%
12.42%
-6.15%
-3.90%
10.66%
-12.61%

1.73%
-0.54%
9.62%
4.54%
1.64%
12.15%
-2.57%
-2.71%
-3.12%
6.91%
4.32%
-10.97%
12.58%
4.04%
0.00%
3.19%
1.45%
0.60%
9.10%
4.19%
-4.85%
5.65%
-7.34%
11.88%
-10.68%
13.11%
-0.68%
-1.22%

0.69%
-6.12%
8.11%
-1.57%
-1.33%
14.83%
9.49%
3.09%
5.99%
5.04%
-3.25%
-16.83%
5.71%
11.65%
4.50%
9.22%
2.57%
7.56%
6.50%
-6.68%
-9.47%
6.59%
1.36%
-0.63%
4.42%
-4.73%
10.45%
0.60%

1.88%
6.46%

1.52%
6.37%

22.54%
22.36%

18.22%
22.06%