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1.

Obtener precios de acciones: Se han tomado precios mensuales de los ultimos 10 aos

Johnsson &
Microsof Exxon Mobil Walmart Jonhsson Coca Cola Pfizer
4/1/2015 43.34 1351.92 79.18 100.46 40.89 35.36
3/2/2015 40.66 1299.57 82.25 100.6 40.55 34.79
2/2/2015 43.85 1328 83.93 102.51 43.3 34.32
1/2/2015 40.4 1302 84.98 100.14 41.17 31.25
12/1/2014 46.45 1361.2 85.88 104.57 42.22 31.15
11/3/2014 47.81 1263 87.54 108.25 44.83 31.15
10/1/2014 46.95 1263 76.27 107.78 41.88 29.95
9/2/2014 46.36 1268 76.47 106.59 42.66 29.57
8/1/2014 45.43 1301.8 75.5 103.73 41.72 29.39
7/1/2014 43.16 1315 73.58 100.09 39.29 28.7
6/2/2014 41.7 1305 75.07 104.62 42.36 29.68
5/1/2014 40.94 1308.2 76.77 101.46 40.91 29.63
4/1/2014 40.4 1331 79.71 101.29 40.79 31.28
3/3/2014 40.99 1278 76.43 98.23 38.66 32.12
2/3/2014 38.31 1275 74.7 92.12 38.2 32.11
1/2/2014 37.84 1233.7 74.68 88.47 37.82 30.4
12/2/2013 37.41 1315 78.69 91.59 41.31 30.63
11/1/2013 38.13 1229.47 81.01 94.66 40.19 31.73
10/1/2013 35.41 1179.3 76.75 92.61 39.57 30.69
9/3/2013 33.28 1135.83 73.96 86.69 37.88 28.73
8/1/2013 33.4 1154 72.98 86.41 38.18 28.21
7/1/2013 31.84 1210 77.94 93.5 40.08 29.23
6/3/2013 34.54 1169 74.49 85.86 40.11 28.01
5/1/2013 34.9 1169.15 74.84 84.18 39.99 27.23
4/1/2013 33.1 1076.82 77.72 85.23 42.33 29.07
3/1/2013 28.61 1098.97 74.83 81.53 40.44 28.86
2/1/2013 27.8 1149 70.78 76.11 38.72 27.37
1/2/2013 27.45 1146.2 69.95 73.92 37.24 27.28
12/3/2012 26.71 1100 68.23 70.1 36.25 25.08
11/1/2012 26.62 1139 72.02 69.73 37.92 25.02
10/1/2012 28.54 1192.5 75.02 70.82 37.18 24.87
9/4/2012 29.76 1178.09 73.8 68.91 37.93 24.85
8/1/2012 30.82 1154.15 72.6 67.43 37.4 23.86
7/2/2012 29.47 1160.44 74.43 69.22 80.8 24.04
6/1/2012 30.59 1134.94 69.72 67.56 78.19 23
5/1/2012 29.19 1145.5 65.82 62.43 74.73 21.87
4/2/2012 32.02 1142.66 58.91 65.1 76.32 22.9
3/1/2012 32.26 919.4 61.2 65.96 74.01 22.65
2/1/2012 31.74 1117 59.08 65.08 69.86 21.13
1/3/2012 29.53 1091.57 61.36 65.91 67.53 21.4
12/1/2011 25.96 1189.5 59.76 65.58 69.97 21.64
11/1/2011 25.58 1085.42 58.9 64.72 67.23 20.07
10/3/2011 26.63 1050.5 56.72 64.39 68.32 19.26
9/1/2011 24.89 1023.2 51.9 63.69 67.56 17.68
8/1/2011 26.6 910.8 53.19 65.8 70.45 18.98
7/1/2011 27.4 941.25 52.71 64.79 68.01 19.25
6/1/2011 26 948 53.14 66.52 67.29 20.6
5/2/2011 25.01 959.99 55.22 67.29 66.81 21.45
4/1/2011 25.92 1010.69 54.98 65.72 67.46 20.97
3/1/2011 25.39 1011 52.05 59.25 66.34 20.31
2/1/2011 26.58 1040.6 51.98 61.44 63.92 19.24
1/3/2011 27.73 977.5 56.07 59.77 62.85 18.22
12/1/2010 27.91 903.62 53.93 61.85 65.77 17.51
11/1/2010 25.26 861.35 54.09 61.55 63.17 16.3
10/1/2010 26.67 825.58 54.17 63.74 61.32 17.42
9/1/2010 24.49 778.87 53.52 61.96 58.52 17.17
8/2/2010 23.47 780 50.14 57.02 55.88 15.91
7/1/2010 25.81 772.75 51.19 58.09 55.11 15
6/1/2010 23.01 747.53 48.07 59.06 50.12 14.26
5/3/2010 25.8 778.47 50.56 58.3 51.4 15.23
4/1/2010 30.54 843.88 53.64 64.3 53.45 16.72
3/1/2010 29.29 833 55.6 65.2 55 17.15
2/1/2010 28.67 833.04 54.07 63 52.72 17.55
1/4/2010 28.18 846.5 53.43 62.86 54.25 18.66
12/1/2009 30.48 897.01 53.45 64.41 57 18.19
11/2/2009 29.41 975.37 54.55 62.84 57.2 18.17
10/1/2009 27.73 951 49.68 59.05 53.31 17.03
9/1/2009 25.72 930 49.09 60.89 53.7 16.55
8/3/2009 24.65 938 50.87 60.44 48.77 16.7
7/1/2009 23.52 926.11 49.88 60.89 49.84 15.93
6/1/2009 23.77 916.27 48.44 56.8 47.99 15
5/1/2009 20.89 913.28 49.74 55.16 49.16 15.19
4/1/2009 20.26 919.1 50.4 52.36 43.05 13.36
3/2/2009 18.37 979.22 52.1 52.6 43.95 13.62
2/2/2009 16.15 1047.91 49.24 50 40.85 12.31
1/2/2009 17.1 1105 47.12 57.69 42.72 14.58
12/1/2008 19.44 1061.99 56.06 59.83 45.27 17.71
11/3/2008 20.22 1053.69 55.88 58.58 46.87 16.43
10/1/2008 22.33 937 55.81 61.34 44.06 17.71
9/2/2008 26.69 846.76 59.89 69.28 52.88 18.44
8/1/2008 27.29 835 59.07 70.43 52.07 19.11
7/1/2008 25.72 820.42 58.62 68.47 51.5 18.67
6/2/2008 27.51 901.75 56.2 64.34 51.98 17.47
5/1/2008 28.32 928 57.74 66.74 57.26 19.36
4/1/2008 28.52 981.07 57.98 67.09 58.87 20.11
3/3/2008 28.38 903.14 52.68 64.87 60.87 20.93
2/1/2008 27.2 945 49.59 61.96 58.46 22.28
1/2/2008 32.6 908.89 50.74 63.14 59 23.36
12/3/2007 35.6 1012.16 47.53 66.7 61.37 22.73
11/1/2007 33.6 960.36 47.9 67.74 62.1 23.76
10/1/2007 36.81 974.6 45.21 65.17 61.76 24.61
9/4/2007 29.46 1014.2 43.65 65.7 57.47 24.43
8/1/2007 28.73 929.5 43.63 61.79 53.78 24.84
7/2/2007 28.99 938.68 45.95 60.5 52.11 23.51
6/1/2007 29.47 910.87 48.11 61.62 52.31 25.57
5/1/2007 30.69 902.3 47.6 63.27 52.99 27.49
4/2/2007 29.94 876 47.92 64.22 52.19 26.46
3/1/2007 27.87 834.14 46.95 60.26 48 25.26
2/1/2007 28.17 802.93 48.31 62.93 46.68 24.96
1/3/2007 30.86 819.45 47.69 66.8 47.88 26.24
12/1/2006 29.86 837.54 46.18 66.02 48.25 25.9
11/1/2006 29.36 848.2 46.1 65.91 46.83 27.49
10/2/2006 28.71 768 49.28 67.4 46.72 26.65
9/1/2006 27.35 743.87 49.32 64.94 44.68 28.36
8/1/2006 25.7 743 44.72 64.66 44.81 27.56
7/3/2006 24.06 729.99 44.5 62.55 44.5 25.99
6/1/2006 23.3 705.55 48.17 59.92 43.02 23.47
5/1/2006 22.65 687 48.45 60.22 44.03 23.66
4/3/2006 24.15 697.85 45.03 58.61 41.96 25.33
3/1/2006 27.21 667.29 47.24 59.22 41.87 24.92
2/1/2006 26.87 622.41 45.36 57.65 41.97 26.19
1/3/2006 28.15 656 46.11 57.54 41.38 25.68
12/1/2005 26.15 600.36 46.8 60.1 40.31 23.32
11/1/2005 27.68 617.51 48.56 61.75 42.69 21.2
10/3/2005 25.7 607.94 47.31 62.62 42.78 21.74
9/1/2005 25.73 696 43.82 63.28 43.19 24.97
8/1/2005 27.38 636.92 44.96 63.39 44 25.48
7/1/2005 25.61 622 49.35 63.96 43.76 26.5
6/1/2005 24.84 621.12 48.2 65 41.75 27.58
5/2/2005 25.8 617.37 47.23 67.1 44.63 27.9
4/1/2005 25.3 637.43 47.14 68.63 43.44 27.17
3/1/2005 24.17 666 50.11 67.16 41.67 26.27
2/1/2005 25.16 708.23 51.61 65.6 42.8 26.29
1/3/2005 26.28 575 52.4 64.7 41.49 24.16
2. Calcular rentabilidad mensual: Formula en I4 copiada al resto 3. Calcular la matriz de covaria
Se completa el resultado tra

Johnsson &
Microsof Exxon Mobil Walmart Jonhsson Coca Cola Pfizer
0.06383119 0.03949236 -0.0380396 -0.0013926 0.00834975 0.01625125 Microsof
-0.0755299 -0.0216406 -0.0202197 -0.0188081 -0.0656169 0.01360171 Exxon Mobil
0.08194493 0.01977251 -0.0124328 0.02339115 0.0504428 0.0937089 Walmart
-0.1395467 -0.0444651 -0.010535 -0.0432875 -0.0251842 0.00320513 Johnsson & J
-0.0288584 0.07487682 -0.0191449 -0.0345867 -0.0599835 0 Coca Cola
0.01815162 0 0.13781616 0.00435125 0.06806917 0.03928492 Pfizer
0.01264619 -0.003951 -0.0026188 0.01110241 -0.0184533 0.01276899
0.02026434 -0.0263071 0.01276585 0.02719833 0.02228108 0.00610585
0.05125854 -0.0100887 0.02575941 0.03572159 0.0600106 0.02375736
0.03441301 0.00763362 -0.0200478 -0.044265 -0.0752345 -0.0335763
0.01839355 -0.0024491 -0.0223929 0.03067011 0.03482999 0.00168606
0.0132778 -0.0172784 -0.0375811 0.00167694 0.00293758 -0.0541916
-0.0144983 0.04063418 0.04201976 0.03067602 0.05363148 -0.0265
0.06761718 0.00235018 0.0228952 0.06421959 0.01196996 0.00031138
0.01234421 0.03292839 0.00026777 0.04042856 0.00999745 0.0547249
0.0114287 -0.0638189 -0.0523038 -0.0346586 -0.0882665 -0.0075373
-0.0190633 0.06725348 -0.0290565 -0.0329694 0.02748639 -0.0352827
0.07400711 0.04166214 0.05401922 0.0218944 0.01554695 0.03332574
0.06203765 0.03755738 0.03702898 0.06605859 0.04364799 0.065995
-0.0035993 -0.0158705 0.01333898 0.00323513 -0.0078885 0.01826535
0.04783254 -0.0473862 -0.0657539 -0.078858 -0.0485656 -0.0355191
-0.0813947 0.03447168 0.04527441 0.08524337 -0.0007482 0.04263399
-0.0103688 -0.0001283 -0.0046876 0.0197607 0.00299626 0.02824228
0.05295355 0.08226474 -0.0377601 -0.0123961 -0.0568666 -0.0653874
0.14577698 -0.0203611 0.03789375 0.04438243 0.04567666 0.00725016
0.02872029 -0.0445186 0.0556424 0.06879139 0.04346313 0.05300903
0.01266985 0.00243988 0.01179577 0.02919623 0.03897281 0.00329369
0.02732814 0.04114194 0.02489635 0.05306063 0.02694407 0.08408312
0.00337521 -0.0348405 -0.0540595 0.00529215 -0.0450393 0.00239521
-0.0696438 -0.0459013 -0.0408109 -0.0155108 0.0197077 0.00601325
-0.0418586 0.01215746 0.01639601 0.02734014 -0.0199714 0.00080451
-0.0349986 0.02053034 0.01639381 0.02171128 0.01407165 0.04065434
0.04479103 -0.0054351 -0.0248942 -0.0261998 -0.7703063 -0.0075157
-0.0373004 0.02221946 0.06537187 0.02427375 0.0328352 0.04422489
0.04684697 -0.0092614 0.05756348 0.07897016 0.04526014 0.05037838
-0.0925345 0.00248235 0.11091289 -0.0418786 -0.0210534 -0.0460211
-0.0074674 0.21739287 -0.0381363 -0.0131239 0.03073481 0.01097706
0.01625036 -0.1946805 0.03525473 0.01343122 0.05770698 0.06946602
0.07217102 0.02302949 -0.0378657 -0.0126729 0.0339213 -0.0126971
0.1288498 -0.085916 0.02642162 0.0050194 -0.0354946 -0.0111525
0.0147461 0.09156604 0.01449545 0.0132005 0.039947 0.07531729
-0.0402276 0.03270077 0.03771421 0.00511193 -0.016083 0.04119576
0.06757228 0.02633127 0.08880809 0.01093078 0.01118646 0.08559635
-0.0664451 0.11636692 -0.0245516 -0.0325923 -0.0418871 -0.0709517
-0.0296318 -0.0328854 0.00906522 0.01546857 0.03524849 -0.0141253
0.05244648 -0.0071457 -0.0081247 -0.0263514 0.01064312 -0.06778
0.03882079 -0.0125684 -0.0383953 -0.011509 0.00715887 -0.0404336
-0.0357391 -0.0514657 0.00435572 0.02360834 -0.0096821 0.0226318
0.02065948 -0.0003067 0.05476469 0.10363751 0.0167418 0.03197947
-0.0458037 -0.0288575 0.00134577 -0.0362953 0.03716073 0.05412193
-0.0423558 0.06255446 -0.0757419 0.02755723 0.01688137 0.05447155
-0.0064702 0.07858937 0.038914 -0.0342082 -0.0454129 0.03974775
0.09976293 0.04790799 -0.0029624 0.00486225 0.0403343 0.07160704
-0.0543172 0.04241476 -0.0014779 -0.0349625 0.02972345 -0.0664539
0.08527447 0.05824202 0.01207183 0.02832329 0.04673748 0.0144553
0.04254186 -0.0014498 0.06523632 0.08308693 0.04616204 0.07621583
-0.095039 0.00933834 -0.0207251 -0.0185914 0.01387535 0.05889764
0.11483311 0.03318114 0.06288592 -0.0165603 0.09491106 0.05059179
-0.1144456 -0.040556 -0.0505025 0.01295178 -0.025218 -0.0658088
-0.1686628 -0.0806798 -0.0591343 -0.0979575 -0.0391085 -0.0933384
0.04179114 0.01297666 -0.0358881 -0.0138998 -0.0285865 -0.0253926
0.02139488 -4.8018E-05 0.0279037 0.03432474 0.0423383 -0.0230558
0.01723877 -0.0160285 0.01190712 0.0022247 -0.0286081 -0.0613282
-0.0784582 -0.0579568 -0.0003743 -0.0243589 -0.0494483 0.0255102
0.03573598 -0.0837499 -0.0203711 0.02467709 -0.0035026 0.00110011
0.05881989 0.02530282 0.09351527 0.06220727 0.07042997 0.06479539
0.07524596 0.02232948 0.01194709 -0.0306844 -0.0072891 0.02859039
0.042492 -0.0085654 -0.035618 0.00741782 0.09629763 -0.0090226
0.04692578 0.01275693 0.01965324 -0.0074178 -0.0217025 0.0472046
-0.0105732 0.01068194 0.0292942 0.06953263 0.03782522 0.06015392
0.12915371 0.00326857 -0.0264835 0.02929827 -0.0240876 -0.0125871
0.03062208 -0.0063524 -0.0131817 0.05209511 0.13271805 0.12837215
0.0979296 -0.0633614 -0.0331738 -0.0045732 -0.0206904 -0.0192741
0.12879885 -0.0677966 0.05645865 0.05069311 0.0731458 0.10112736
-0.0571584 -0.0530476 0.04400876 -0.1430608 -0.0447604 -0.1692388
-0.1282543 0.03970083 -0.173725 -0.0364234 -0.0579774 -0.1944787
-0.0393394 0.00784622 0.00321601 0.02111387 -0.0347333 0.07502052
-0.0992589 0.11737029 0.00125347 -0.0460388 0.06182547 -0.0750205
-0.1783579 0.10126598 -0.0705565 -0.1217241 -0.1824729 -0.0403928
-0.0222314 0.01398558 0.01378636 -0.016463 0.01543623 -0.0356895
0.05925144 0.01761532 0.00764725 0.02822362 0.01100716 0.0232938
-0.0672807 -0.0945209 0.04215918 0.06221417 -0.0092772 0.06643283
-0.0290187 -0.0286944 -0.0270334 -0.036623 -0.0967433 -0.102724
-0.0070373 -0.0556121 -0.0041479 -0.0052305 -0.0277293 -0.0380081
0.00492092 0.08276623 0.09586225 0.03364973 -0.0334088 -0.0399663
0.0424677 -0.0453073 0.06044668 0.04589625 0.04039768 -0.0625059
-0.1810953 0.03896085 -0.0229254 -0.0188655 -0.0091947 -0.0473357
-0.0880333 -0.1076179 0.06535346 -0.0548505 -0.0393837 0.02733952
0.05781957 0.05253373 -0.0077544 -0.0154719 -0.0118249 -0.0443179
-0.0912435 -0.0147189 0.0577972 0.03867761 0.00549008 -0.0351494
0.22273614 -0.0398283 0.03511502 -0.0080997 0.07199283 0.00734098
0.02509154 0.0872086 0.0004583 0.06135739 0.06636142 -0.0166434
-0.0090091 -0.0098278 -0.0518089 0.02109817 0.03154478 0.05502939
-0.0164219 0.03007445 -0.0459362 -0.0183431 -0.0038307 -0.0839939
-0.0405641 0.00945313 0.01065729 -0.0264248 -0.0129157 -0.0724025
0.02474149 0.02958097 -0.0067002 -0.0149034 0.01521231 0.03818814
0.07164454 0.04896484 0.02044975 0.06364615 0.08368989 0.04641204
-0.0107067 0.03813372 -0.0285554 -0.0433545 0.0278852 0.01194757
-0.0912033 -0.0203658 0.01291685 -0.0596801 -0.0253821 -0.0500104
0.03294105 -0.0218356 0.03217493 0.01174535 -0.0076979 0.013042
0.01688659 -0.0126474 0.00173385 0.00166755 0.0298718 -0.0595793
0.02238771 0.09932672 -0.0667054 -0.0223548 0.00235168 0.03103315
0.04852897 0.03192344 -0.0008114 0.03718125 0.04464636 -0.0621906
0.06222554 0.00117024 0.09790885 0.00432099 -0.0029054 0.02861426
0.06594028 0.01766521 0.00493164 0.03317654 0.00694214 0.0586536
0.03209735 0.03405319 -0.0792472 0.0429559 0.03382407 0.10198884
0.02829351 0.02664335 -0.0057959 -0.0049942 -0.0232061 -0.0080628
-0.0641245 -0.0156699 0.0732034 0.02709919 0.04815444 -0.0682036
-0.1193002 0.04477945 -0.0479121 -0.010354 0.0021472 0.01631877
0.01257413 0.06962569 0.04061033 0.02686908 -0.0023855 -0.049707
-0.0465369 -0.0525617 -0.0163992 0.00190989 0.01415741 0.01966518
0.07369816 0.08863131 -0.0148534 -0.0435295 0.0261981 0.09640112
-0.0568609 -0.0281658 -0.0369169 -0.0270841 -0.0573651 0.09531018
0.07421914 0.01561907 0.02607846 -0.0139907 -0.002106 -0.0251527
-0.0011666 -0.1352735 0.07663136 -0.0104846 -0.0095383 -0.1385212
-0.0621552 0.0887056 -0.0256829 -0.0017368 -0.0185806 -0.0202187
0.06682992 0.02370397 -0.0931646 -0.0089518 0.00546948 -0.0392509
0.03052764 0.00141579 0.02357874 -0.0161294 0.04702071 -0.0399461
-0.0379192 0.00605578 0.02032974 -0.0317968 -0.0667068 -0.0115358
0.0195701 -0.0319759 0.00190739 -0.0225457 0.0270256 0.02651327
0.0456922 -0.0438452 -0.0610987 0.02165192 0.04159923 0.03368582
-0.0401432 -0.0614792 -0.0294949 0.02350214 -0.0267567 -0.000761
-0.0435528 0.20839886 -0.0151911 0.01381449 0.03108567 0.08449027

0.41% 0.70% 0.34% 0.36% -0.01% 0.31%


. Calcular la matriz de covarianza usando la rutina de Analisis de Datos. 4. Construccion de portafolios
Se completa el resultado transponiendo las columnas una por una 4.1 Primer portafolio optimo: M

Microsof Exxon Mobil Walmart


Johnsson & Jonhsson
Coca Cola Pfizer
0.00460658 -0.0001247 0.00063134 0.00098139 0.00100161 0.0010924 Microsof
-0.0001247 0.00325036 -0.0003908 -2.3563E-05 0.00022811 0.0002319 Exxon Mobil
0.00063134 -0.0003908 0.00208114 0.00062438 0.00079181 0.00053547 Walmart
0.00098139 -2.3563E-05 0.00062438 0.00157115 0.00113166 0.00105185 Johnsson & J
0.00100161 0.00022811 0.00079181 0.00113166 0.0067775 0.00102038 Coca Cola
0.0010924 0.0002319 0.00053547 0.00105185 0.00102038 0.00311858 Pfizer

4.2 Segundo portafolio optimo


Rentabilidad

Microsof
Exxon Mobil
Walmart
Johnsson & J
Coca Cola
Pfizer

Debe aplicarse la rutina solver


El primer portaflio no tiene res
No olvidar introducir la restricc
Tener cuidado de no incluir la p
. Construccion de portafolios optimos para generar frontera optima
.1 Primer portafolio optimo: Minima varianza absoluta (A)

Ponderaciones Rentabilidad Rp Varianza Desv Std


0.056689425 0.41% 0.44% 0.000781 2.79%
0.2769588474 0.70%
0.302841768 0.34%
0.3076115297 0.36%
0.0027112302 -0.01%
0.0531871998 0.31%

.2 Segundo portafolio optimo: Varianza mnima para maxima rentabilidad activo (B)
0.70%

Ponderaciones Rentabilidad Rp Varianza Desv Std


0.160575244 0.41% 0.70% 0.002928 5.41%
0.9410561327 0.70%
0.1013433853 0.34%
0.0936210141 0.36%
0 -0.01%
-0.2965957761 0.31%

ebe aplicarse la rutina solver por separado para ambos casos.


l primer portaflio no tiene restricciones
o olvidar introducir la restriccin de rentabilidad para el segundo portafolio.
ener cuidado de no incluir la ponderacin del ultimo activo; solo los primeros n-1
5. Frontera optima: Portafolios generados por A y B (Ver 4) 6. Linea del mercado de capitales: Clc
Covarianza entre portafolios A y B: 0.00078051

Portafolio A Portafolio B Rp Varianza Desv Std


-50% 150% 0.82% 0.005613 7.49% Microsof
-40% 140% 0.80% 0.004990 7.06% Exxon Mobil
-30% 130% 0.77% 0.004410 6.64% Walmart
-20% 120% 0.75% 0.003873 6.22% Johnsson & J
-10% 110% 0.72% 0.003379 5.81% Coca Cola
0% 100% 0.70% 0.002928 5.41% Pfizer
10% 90% 0.67% 0.002520 5.02%
20% 80% 0.64% 0.002155 4.64% Pendiente de Sharpe
30% 70% 0.62% 0.001833 4.28%
40% 60% 0.59% 0.001554 3.94% Aplicar la rutina solver para maximizar
50% 50% 0.57% 0.001317 3.63% No se aplican restricciones.
60% 40% 0.54% 0.001124 3.35%
70% 30% 0.52% 0.000974 3.12%
80% 20% 0.49% 0.000866 2.94%
90% 10% 0.47% 0.000802 2.83%
100% 0% 0.44% 0.000781 2.79%
110% -10% 0.42% 0.000802 2.83%
120% -20% 0.39% 0.000866 2.94%
130% -30% 0.37% 0.000974 3.12%
140% -40% 0.34% 0.001124 3.35%
150% -50% 0.32% 0.001317 3.63%

RENTABILIDAD

0.90%

0.80%

0.70%

0.60%

0.50%
0.60%

0.50%

0.40%

0.30%

0.20%

0.10%

0.00%
-4.00% -2.00% 0.00% 2.0

AZUL: MERCADO DE CAPITALES


SIEMPRE ME CONVIENE ESTAR EN EL MERCCADO DE CAPITALES
REDUZCO RIESGO AUMENTANDO RENTABILIDAD
. Linea del mercado de capitales: Clculo de la pendiente (maximizar pendiente de Sharpe)

Ponderaciones Rentabilidad Rp Varianza Desv Std Rf


0.0954090869 0.41% 0.54% 0.001077 3.28% 0.20%
0.5239859366 0.70%
0.2282824627 0.34%
0.2289985871 0.36%
0 -0.01%
-0.076676073 0.31%

endiente de Sharpe 0.10291591

plicar la rutina solver para maximizar la pendiente.


o se aplican restricciones.

ENTABILIDAD
Frontera Optima LMC

0.90%

0.80%

0.70%

0.60%

0.50%
0.60%

0.50%

0.40%

0.30%

0.20%

0.10%

0.00%
% 0.00% 2.00% 4.00% 6.00% 8.00% 10.00%

TAR EN EL MERCCADO DE CAPITALES


ANDO RENTABILIDAD
7. Linea de mercado de capitales

Rf Portafolio M Rp Varianza Desv Std


150% -50% 0.03% 0.00026932 -1.64%
140% -40% 0.06% 0.00017237 -1.31%
130% -30% 0.10% 9.6957E-05 -0.98%
120% -20% 0.13% 4.3092E-05 -0.66%
110% -10% 0.17% 1.0773E-05 -0.33%
100% 0% 0.20% 0 0.00%
90% 10% 0.23% 1.0773E-05 0.33%
80% 20% 0.27% 4.3092E-05 0.66%
70% 30% 0.30% 9.6957E-05 0.98%
60% 40% 0.34% 0.00017237 1.31%
50% 50% 0.37% 0.00026932 1.64%
40% 60% 0.40% 0.00038783 1.97%
30% 70% 0.44% 0.00052788 2.30%
20% 80% 0.47% 0.00068947 2.63%
10% 90% 0.50% 0.00087261 2.95%
0% 100% 0.54% 0.0010773 3.28%
-10% 110% 0.57% 0.00130353 3.61%
-20% 120% 0.61% 0.00155131 3.94%
-30% 130% 0.64% 0.00182063 4.27%
-40% 140% 0.67% 0.0021115 4.60%
-50% 150% 0.71% 0.00242392 4.92%
10.00%

RIESGO