Optimizacin de Portafolios - Markowitz

Florencia Roca, 2013

Ticker Company
1 BRK-A Berkshire Hathaway Inc.
2 AAPL Apple Inc.
3 AXP American Express Inc
4 CPB Campbell Soup Company
5 DOW Dow Chemical
6 CL Colgate-Palmolive Co
7 NKE Nike
8 WAG Walgreens
encia Roca, 2013
rendedores
Optimizacin de Portafolios - Markowitz

https://www.facebook.com/Femprended
Retornos
1 2 3 4 5
BRK-A AAPL AXP CPB DOW
12/2/2013 1.4% 0.7% 4.0% 11.8% 15.0%
11/1/2013 1.0% 7.0% 4.9% -9.0% -1.0%
10/1/2013 1.5% 9.6% 8.6% 5.4% 2.8%
9/3/2013 2.0% -2.1% 5.0% -5.7% 3.5%
8/1/2013 -3.9% 8.4% -2.5% -7.7% 6.8%
7/1/2013 3.1% 14.1% -1.0% 5.2% 8.9%
6/3/2013 -1.6% -11.8% -1.2% 4.6% -5.7%
5/1/2013 7.7% 2.2% 10.7% -7.8% 1.6%
4/1/2013 1.7% 0.0% 1.7% 2.3% 6.5%
3/1/2013 2.4% 0.3% 8.5% 10.2% 1.4%
2/1/2013 4.6% -2.5% 5.7% 12.1% -1.5%
1/2/2013 8.8% -14.4% 2.7% 5.2% -0.4%
12/3/2012 1.6% -9.1% 2.8% -3.5% 8.2%
11/1/2012 1.9% -1.2% -0.1% 4.2% 3.0%
10/1/2012 -2.4% -10.8% -1.2% 2.1% 1.2%
9/4/2012 4.9% 0.3% -2.5% -0.9% -0.1%
8/1/2012 -0.7% 9.4% 1.0% 6.2% 1.8%
7/2/2012 2.0% 4.6% -0.5% 0.1% -8.6%
6/1/2012 5.1% 1.1% 4.3% 5.3% 2.5%
5/1/2012 -1.6% -1.1% -7.3% -6.3% -8.3%
4/2/2012 -0.9% -2.6% 4.4% 0.8% -2.2%
3/1/2012 3.4% 10.5% 9.4% 1.6% 4.1%
2/1/2012 0.0% 18.8% 5.5% 5.1% 0.0%
1/3/2012 2.8% 12.7% 6.7% -4.6% 16.5%
12/1/2011 -3.2% 6.0% -1.8% 2.8% 4.7%
11/1/2011 1.3% -5.6% -5.1% -2.0% -0.6%
10/3/2011 9.5% 6.2% 13.2% 3.7% 24.2%
9/1/2011 -2.7% -0.9% -9.7% 1.6% -20.3%
8/1/2011 -1.6% -1.4% -0.7% -3.5% -18.4%
7/1/2011 -4.0% 16.3% -3.2% -3.5% -3.1%
6/1/2011 -2.2% -3.5% 0.5% -0.6% 0.3%
5/2/2011 -4.8% -0.7% 5.1% 3.5% -11.9%
4/1/2011 -0.4% 0.5% 9.0% 2.3% 8.6%
3/1/2011 -4.6% -1.3% 3.7% -1.6% 2.0%
2/1/2011 7.2% 4.1% 0.4% -1.4% 4.7%
1/3/2011 1.6% 5.2% 1.5% -1.8% 3.9%
12/1/2010 0.2% 3.7% -0.7% 3.4% 10.0%
11/1/2010 0.8% 3.4% 4.2% -6.5% 1.1%
10/1/2010 -4.2% 6.1% -0.9% 2.2% 12.3%
9/1/2010 4.9% 16.7% 5.4% -4.1% 13.3%
8/2/2010 1.4% -5.5% -10.7% 3.8% -10.9%
7/1/2010 -2.5% 2.3% 12.4% 1.0% 15.2%
6/1/2010 13.3% -2.1% 0.0% 0.1% -11.3%
5/3/2010 -8.2% -1.6% -13.6% -0.1% -12.7%
4/1/2010 -5.3% 11.1% 11.8% 1.4% 4.3%
3/1/2010 1.7% 14.8% 8.5% 6.9% 5.0%
2/1/2010 4.5% 6.5% 1.4% 0.7% 4.5%
1/4/2010 15.5% -8.9% -6.7% -2.0% -2.0%
12/1/2009 -1.4% 5.4% -3.1% -2.6% 0.0%
11/2/2009 1.6% 6.1% 20.1% 10.2% 18.3%
10/1/2009 -2.0% 1.7% 2.8% -1.9% -9.9%
9/1/2009 0.1% 10.2% 0.8% 4.0% 23.2%
8/3/2009 4.0% 2.9% 19.4% 1.1% 0.5%
7/1/2009 7.8% 14.7% 21.9% 6.4% 31.2%
6/1/2009 -1.7% 4.9% -5.8% 6.1% -7.8%
5/1/2009 -2.6% 7.9% -1.5% 7.8% 10.5%
4/1/2009 8.4% 19.7% 87.5% -5.2% 89.7%
3/2/2009 10.3% 17.7% 13.0% 2.2% 19.7%
2/2/2009 -12.2% -0.9% -27.9% -11.9% -38.2%
1/2/2009 -7.3% 5.6% -9.1% 1.2% -23.2%
12/1/2008 -7.1% -7.9% -20.4% -5.5% -16.9%
11/3/2008 -9.9% -13.9% -15.2% -15.5% -30.5%
10/1/2008 -11.6% -5.3% -22.0% -1.0% -16.0%
9/2/2008 12.0% -33.0% -10.7% 4.9% -5.8%
8/1/2008 1.9% 6.7% 6.9% 1.2% 2.5%
7/1/2008 -5.2% -5.1% -1.0% 9.5% -4.6%
6/2/2008 -10.3% -11.3% -18.7% -0.1% -12.6%
5/1/2008 0.6% 8.5% -3.5% -3.8% 0.6%
4/1/2008 0.3% 21.2% 10.2% 3.2% 9.0%
3/3/2008 -4.7% 14.8% 3.4% 5.1% -1.1%
2/1/2008 2.9% -7.6% -13.9% 2.3% -2.5%
1/14/2008

Activos individuales:
Retorno esperado 0.5% 2.5% 1.8% 0.8% 1.6%
Varianza 0.3% 0.9% 1.9% 0.3% 2.5%
Desviacin estndar 5.5% 9.3% 13.8% 5.3% 15.9%
Proporciones 12.50% 12.50% 12.50% 12.50% 12.50%

Matriz de Covarianzas
BRK-A AAPL AXP CPB DOW
BRK-A 0.00305 0.00028 0.00342 0.00060 0.00415
AAPL 0.00028 0.00864 0.00627 0.00035 0.00717
AXP 0.00342 0.00627 0.01913 0.00106 0.01890
CPB 0.00060 0.00035 0.00106 0.00280 0.00174
DOW 0.00415 0.00717 0.01890 0.00174 0.02519
CL 0.00059 0.00055 0.00163 0.00078 0.00144
NKE 0.00159 0.00210 0.00459 0.00063 0.00643
WAG 0.00131 0.00285 0.00577 0.00060 0.00640
Matriz de Correlaciones
BRK-A AAPL AXP CPB DOW
BRK-A 1
AAPL 0.0539275 1
AXP 0.4482344 0.487675 1
CPB 0.205546 0.071035 0.145168 1
DOW 0.4738171 0.48598 0.861234 0.207838 1
CL 0.2337611 0.131541 0.25892 0.326382 0.19985
NKE 0.3894522 0.306354 0.449603 0.161171 0.548025
WAG 0.2792741 0.359209 0.489404 0.132371 0.472574

Matriz de Markowitz
BRK-A AAPL AXP CPB DOW
BRK-A 0.005% 0.000% 0.005% 0.001% 0.006%
AAPL 0.000% 0.014% 0.010% 0.001% 0.011%
AXP 0.005% 0.010% 0.030% 0.002% 0.030%
CPB 0.001% 0.001% 0.002% 0.004% 0.003%
DOW 0.006% 0.011% 0.030% 0.003% 0.039%
CL 0.001% 0.001% 0.003% 0.001% 0.002%
NKE 0.002% 0.003% 0.007% 0.001% 0.010%
WAG 0.002% 0.004% 0.009% 0.001% 0.010%

Portafolio:
Varianza 0.39%
Desviacin estndar 6.22%

Retorno esperado 1.42%

wX * wY
BRK-A AAPL AXP CPB DOW
BRK-A 1.563% 1.563% 1.563% 1.563% 1.563%
AAPL 1.563% 1.563% 1.563% 1.563% 1.563%
AXP 1.563% 1.563% 1.563% 1.563% 1.563%
CPB 1.563% 1.563% 1.563% 1.563% 1.563%
DOW 1.563% 1.563% 1.563% 1.563% 1.563%
CL 1.563% 1.563% 1.563% 1.563% 1.563%
NKE 1.563% 1.563% 1.563% 1.563% 1.563%
WAG 1.563% 1.563% 1.563% 1.563% 1.563%

Markowitz risk
BRK-A AAPL AXP CPB DOW
BRK-A 0.005% 0.000% 0.005% 0.001% 0.006%
AAPL 0.000% 0.014% 0.010% 0.001% 0.011%
AXP 0.005% 0.010% 0.030% 0.002% 0.030%
CPB 0.001% 0.001% 0.002% 0.004% 0.003%
DOW 0.006% 0.011% 0.030% 0.003% 0.039%
CL 0.001% 0.001% 0.003% 0.001% 0.002%
NKE 0.002% 0.003% 0.007% 0.001% 0.010%
WAG 0.002% 0.004% 0.009% 0.001% 0.010%

Varianza 0.387%
Desviacin estndar 6.223%
 Florencia Roca, 2013

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6 7 8
CL NKE WAG
-0.7% -0.9% -3.0%
1.7% 4.5% 0.5%
9.7% 4.3% 10.1%
2.6% 15.6% 11.9%
-3.5% 0.2% -3.7%
5.1% -1.2% 13.7%
-1.0% 3.3% -7.5%
-3.1% -2.7% -3.0%
1.8% 7.8% 3.8%
3.1% 8.4% 16.5%
6.6% 1.1% 3.1%
3.3% 4.8% 8.0%
-3.7% 6.3% 9.2%
3.4% 6.7% -3.0%
-1.6% -3.7% -3.3%
0.9% -2.5% 1.9%
-1.0% 4.7% -0.9%
3.7% 6.4% 22.9%
5.9% -18.9% -3.1%
-0.6% -3.0% -12.3%
1.8% 3.2% 4.7%
4.9% 0.8% 1.0%
2.7% 3.8% 0.0%
-1.2% 7.9% 0.9%
1.0% 0.6% -2.0%
1.3% -0.2% 2.3%
2.5% 12.7% 0.9%
-1.4% -1.0% -6.6%
6.6% -3.9% -9.3%
-2.8% 0.2% -8.1%
-0.1% 7.0% -2.7%
3.8% 2.6% 2.5%
5.2% 8.7% 6.4%
2.8% -14.7% -7.4%
2.3% 7.9% 7.6%
-3.8% -3.4% 3.8%
5.0% -0.5% 11.8%
-0.8% 5.8% 3.4%
1.0% 1.6% 1.2%
4.1% 14.9% 24.6%
-6.5% -4.9% -5.3%
0.9% 9.0% 6.9%
0.9% -6.3% -16.7%
 -7.2% -4.6% -8.5%
-0.7% 3.3% -5.2%
2.8% 9.2% 5.2%
3.6% 6.1% -1.8%
-2.0% -3.5% -1.8%
-2.4% 2.3% -5.6%
7.1% 4.3% 3.2%
3.6% -3.9% 1.0%
4.9% 17.3% 10.6%
0.3% -2.2% 9.6%
3.0% 9.4% 5.6%
7.2% -8.8% -1.3%
11.8% 8.7% -4.9%
0.8% 11.9% 21.1%
-2.0% 13.6% 8.8%
-7.5% -8.2% -12.6%
-4.5% -11.3% 11.1%
5.3% -3.8% -0.3%
3.7% -7.6% -2.4%
-16.2% -13.9% -17.7%
-0.9% 10.8% -15.0%
2.4% 3.3% 6.4%
8.1% -1.5% 5.6%
-7.1% -12.5% -9.7%
5.2% 2.4% 3.6%
-8.8% -1.8% -8.5%
2.4% 13.4% 4.3%
-0.5% -1.5% 4.5%

1.1% 1.7% 1.2%

CL NKE WAG
0.00059 0.00159 0.00131
0.00055 0.00210 0.00285
0.00163 0.00459 0.00577
0.00078 0.00063 0.00060
0.00144 0.00643 0.00640
0.00206 0.00104 0.00164
0.00104 0.00546 0.00324
0.00164 0.00324 0.00728
 CL NKE WAG

1
0.311597 1
0.424746 0.513625 1

Composicin de
CL NKE WAG Asset %
0.001% 0.002% 0.002% BRK-A 12.5%
0.001% 0.003% 0.004% AAPL 12.5%
0.003% 0.007% 0.009% AXP 12.5%
0.001% 0.001% 0.001% CPB 12.5%
0.002% 0.010% 0.010% DOW 12.5%
0.003% 0.002% 0.003% CL 12.5%
0.002% 0.009% 0.005% NKE 12.5%
0.003% 0.005% 0.011% WAG 12.5%
100.0%

CL NKE WAG
1.563% 1.563% 1.563%
1.563% 1.563% 1.563%
1.563% 1.563% 1.563%
1.563% 1.563% 1.563%
1.563% 1.563% 1.563%
1.563% 1.563% 1.563%
1.563% 1.563% 1.563%
1.563% 1.563% 1.563%

CL NKE WAG
0.001% 0.002% 0.002%
0.001% 0.003% 0.004%
0.003% 0.007% 0.009%
0.001% 0.001% 0.001%
0.002% 0.010% 0.010%
0.003% 0.002% 0.003%
0.002% 0.009% 0.005%
0.003% 0.005% 0.011%
mposicin del portafolio

BRK-A AAPL AXP

CPB DOW CL

NKE WAG
Optimizacin de Portafolios - Markowitz

https://www.facebook.com/Femprend
Retornos
1 2 3 4 5
BRK-A AAPL AXP CPB DOW
12/2/2013 1.4% 0.7% 4.0% 11.8% 15.0%
11/1/2013 1.0% 7.0% 4.9% -9.0% -1.0%
10/1/2013 1.5% 9.6% 8.6% 5.4% 2.8%
9/3/2013 2.0% -2.1% 5.0% -5.7% 3.5%
8/1/2013 -3.9% 8.4% -2.5% -7.7% 6.8%
7/1/2013 3.1% 14.1% -1.0% 5.2% 8.9%
6/3/2013 -1.6% -11.8% -1.2% 4.6% -5.7%
5/1/2013 7.7% 2.2% 10.7% -7.8% 1.6%
4/1/2013 1.7% 0.0% 1.7% 2.3% 6.5%
3/1/2013 2.4% 0.3% 8.5% 10.2% 1.4%
2/1/2013 4.6% -2.5% 5.7% 12.1% -1.5%
1/2/2013 8.8% -14.4% 2.7% 5.2% -0.4%
12/3/2012 1.6% -9.1% 2.8% -3.5% 8.2%
11/1/2012 1.9% -1.2% -0.1% 4.2% 3.0%
10/1/2012 -2.4% -10.8% -1.2% 2.1% 1.2%
9/4/2012 4.9% 0.3% -2.5% -0.9% -0.1%
8/1/2012 -0.7% 9.4% 1.0% 6.2% 1.8%
7/2/2012 2.0% 4.6% -0.5% 0.1% -8.6%
6/1/2012 5.1% 1.1% 4.3% 5.3% 2.5%
5/1/2012 -1.6% -1.1% -7.3% -6.3% -8.3%
4/2/2012 -0.9% -2.6% 4.4% 0.8% -2.2%
3/1/2012 3.4% 10.5% 9.4% 1.6% 4.1%
2/1/2012 0.0% 18.8% 5.5% 5.1% 0.0%
1/3/2012 2.8% 12.7% 6.7% -4.6% 16.5%
12/1/2011 -3.2% 6.0% -1.8% 2.8% 4.7%
11/1/2011 1.3% -5.6% -5.1% -2.0% -0.6%
10/3/2011 9.5% 6.2% 13.2% 3.7% 24.2%
9/1/2011 -2.7% -0.9% -9.7% 1.6% -20.3%
8/1/2011 -1.6% -1.4% -0.7% -3.5% -18.4%
7/1/2011 -4.0% 16.3% -3.2% -3.5% -3.1%
6/1/2011 -2.2% -3.5% 0.5% -0.6% 0.3%
5/2/2011 -4.8% -0.7% 5.1% 3.5% -11.9%
4/1/2011 -0.4% 0.5% 9.0% 2.3% 8.6%
3/1/2011 -4.6% -1.3% 3.7% -1.6% 2.0%
2/1/2011 7.2% 4.1% 0.4% -1.4% 4.7%
1/3/2011 1.6% 5.2% 1.5% -1.8% 3.9%
12/1/2010 0.2% 3.7% -0.7% 3.4% 10.0%
11/1/2010 0.8% 3.4% 4.2% -6.5% 1.1%
10/1/2010 -4.2% 6.1% -0.9% 2.2% 12.3%
9/1/2010 4.9% 16.7% 5.4% -4.1% 13.3%
8/2/2010 1.4% -5.5% -10.7% 3.8% -10.9%
7/1/2010 -2.5% 2.3% 12.4% 1.0% 15.2%
6/1/2010 13.3% -2.1% 0.0% 0.1% -11.3%
5/3/2010 -8.2% -1.6% -13.6% -0.1% -12.7%
4/1/2010 -5.3% 11.1% 11.8% 1.4% 4.3%
3/1/2010 1.7% 14.8% 8.5% 6.9% 5.0%
2/1/2010 4.5% 6.5% 1.4% 0.7% 4.5%
1/4/2010 15.5% -8.9% -6.7% -2.0% -2.0%
12/1/2009 -1.4% 5.4% -3.1% -2.6% 0.0%
11/2/2009 1.6% 6.1% 20.1% 10.2% 18.3%
10/1/2009 -2.0% 1.7% 2.8% -1.9% -9.9%
9/1/2009 0.1% 10.2% 0.8% 4.0% 23.2%
8/3/2009 4.0% 2.9% 19.4% 1.1% 0.5%
7/1/2009 7.8% 14.7% 21.9% 6.4% 31.2%
6/1/2009 -1.7% 4.9% -5.8% 6.1% -7.8%
5/1/2009 -2.6% 7.9% -1.5% 7.8% 10.5%
4/1/2009 8.4% 19.7% 87.5% -5.2% 89.7%
3/2/2009 10.3% 17.7% 13.0% 2.2% 19.7%
2/2/2009 -12.2% -0.9% -27.9% -11.9% -38.2%
1/2/2009 -7.3% 5.6% -9.1% 1.2% -23.2%
12/1/2008 -7.1% -7.9% -20.4% -5.5% -16.9%
11/3/2008 -9.9% -13.9% -15.2% -15.5% -30.5%
10/1/2008 -11.6% -5.3% -22.0% -1.0% -16.0%
9/2/2008 12.0% -33.0% -10.7% 4.9% -5.8%
8/1/2008 1.9% 6.7% 6.9% 1.2% 2.5%
7/1/2008 -5.2% -5.1% -1.0% 9.5% -4.6%
6/2/2008 -10.3% -11.3% -18.7% -0.1% -12.6%
5/1/2008 0.6% 8.5% -3.5% -3.8% 0.6%
4/1/2008 0.3% 21.2% 10.2% 3.2% 9.0%
3/3/2008 -4.7% 14.8% 3.4% 5.1% -1.1%
2/1/2008 2.9% -7.6% -13.9% 2.3% -2.5%
1/14/2008

Activos individuales:
Retorno esperado 0.5% 2.5% 1.8% 0.8% 1.6%
Varianza 0.3% 0.9% 1.9% 0.3% 2.5%
Desviacin estndar 5.5% 9.3% 13.8% 5.3% 15.9%
Proporciones 25.98% 9.47% 0.00% 25.38% 0.00%

Matriz de Covarianzas
BRK-A AAPL AXP CPB DOW
BRK-A 0.00305 0.00028 0.00342 0.00060 0.00415
AAPL 0.00028 0.00864 0.00627 0.00035 0.00717
AXP 0.00342 0.00627 0.01913 0.00106 0.01890
CPB 0.00060 0.00035 0.00106 0.00280 0.00174
DOW 0.00415 0.00717 0.01890 0.00174 0.02519
CL 0.00059 0.00055 0.00163 0.00078 0.00144
NKE 0.00159 0.00210 0.00459 0.00063 0.00643
WAG 0.00131 0.00285 0.00577 0.00060 0.00640
Matriz de Correlaciones
BRK-A AAPL AXP CPB DOW
BRK-A 1
AAPL 0.0539275 1
AXP 0.4482344 0.487675 1
CPB 0.205546 0.071035 0.145168 1
DOW 0.4738171 0.48598 0.861234 0.207838 1
CL 0.2337611 0.131541 0.25892 0.326382 0.19985
NKE 0.3894522 0.306354 0.449603 0.161171 0.548025
WAG 0.2792741 0.359209 0.489404 0.132371 0.472574

Matriz de Markowitz
BRK-A AAPL AXP CPB DOW
BRK-A 0.021% 0.001% 0.000% 0.004% 0.000%
AAPL 0.001% 0.008% 0.000% 0.001% 0.000%
AXP 0.000% 0.000% 0.000% 0.000% 0.000%
CPB 0.004% 0.001% 0.000% 0.018% 0.000%
DOW 0.000% 0.000% 0.000% 0.000% 0.000%
CL 0.006% 0.002% 0.000% 0.008% 0.000%
NKE 0.000% 0.000% 0.000% 0.000% 0.000%
WAG 0.000% 0.000% 0.000% 0.000% 0.000%

Portafolio:
Varianza 0.12%
Desviacin estndar 3.47%

Retorno esperado 1.01%

wX * wY
BRK-A AAPL AXP CPB DOW
BRK-A 6.751% 2.459% 0.000% 6.595% 0.000%
AAPL 2.459% 0.896% 0.000% 2.403% 0.000%
AXP 0.000% 0.000% 0.000% 0.000% 0.000%
CPB 6.595% 2.403% 0.000% 6.443% 0.000%
DOW 0.000% 0.000% 0.000% 0.000% 0.000%
CL 10.038% 3.656% 0.000% 9.806% 0.000%
NKE 0.140% 0.051% 0.000% 0.136% 0.000%
WAG 0.000% 0.000% 0.000% 0.000% 0.000%

Markowitz risk
BRK-A AAPL AXP CPB DOW
BRK-A 0.021% 0.001% 0.000% 0.004% 0.000%
AAPL 0.001% 0.008% 0.000% 0.001% 0.000%
AXP 0.000% 0.000% 0.000% 0.000% 0.000%
CPB 0.004% 0.001% 0.000% 0.018% 0.000%
DOW 0.000% 0.000% 0.000% 0.000% 0.000%
CL 0.006% 0.002% 0.000% 0.008% 0.000%
NKE 0.000% 0.000% 0.000% 0.000% 0.000%
WAG 0.000% 0.000% 0.000% 0.000% 0.000%

Varianza 0.120%
Desviacin estndar 3.471%
 Florencia Roca, 2013

w.facebook.com/Femprendedores

6 7 8
CL NKE WAG
-0.7% -0.9% -3.0%
1.7% 4.5% 0.5%
9.7% 4.3% 10.1%
2.6% 15.6% 11.9%
-3.5% 0.2% -3.7%
5.1% -1.2% 13.7%
-1.0% 3.3% -7.5%
-3.1% -2.7% -3.0%
1.8% 7.8% 3.8%
3.1% 8.4% 16.5%
6.6% 1.1% 3.1%
3.3% 4.8% 8.0%
-3.7% 6.3% 9.2%
3.4% 6.7% -3.0%
-1.6% -3.7% -3.3%
0.9% -2.5% 1.9%
-1.0% 4.7% -0.9%
3.7% 6.4% 22.9%
5.9% -18.9% -3.1%
-0.6% -3.0% -12.3%
1.8% 3.2% 4.7%
4.9% 0.8% 1.0%
2.7% 3.8% 0.0%
-1.2% 7.9% 0.9%
1.0% 0.6% -2.0%
1.3% -0.2% 2.3%
2.5% 12.7% 0.9%
-1.4% -1.0% -6.6%
6.6% -3.9% -9.3%
-2.8% 0.2% -8.1%
-0.1% 7.0% -2.7%
3.8% 2.6% 2.5%
5.2% 8.7% 6.4%
2.8% -14.7% -7.4%
2.3% 7.9% 7.6%
-3.8% -3.4% 3.8%
5.0% -0.5% 11.8%
-0.8% 5.8% 3.4%
1.0% 1.6% 1.2%
4.1% 14.9% 24.6%
-6.5% -4.9% -5.3%
0.9% 9.0% 6.9%
0.9% -6.3% -16.7%
 -7.2% -4.6% -8.5%
-0.7% 3.3% -5.2%
2.8% 9.2% 5.2%
3.6% 6.1% -1.8%
-2.0% -3.5% -1.8%
-2.4% 2.3% -5.6%
7.1% 4.3% 3.2%
3.6% -3.9% 1.0%
4.9% 17.3% 10.6%
0.3% -2.2% 9.6%
3.0% 9.4% 5.6%
7.2% -8.8% -1.3%
11.8% 8.7% -4.9%
0.8% 11.9% 21.1%
-2.0% 13.6% 8.8%
-7.5% -8.2% -12.6%
-4.5% -11.3% 11.1%
5.3% -3.8% -0.3%
3.7% -7.6% -2.4%
-16.2% -13.9% -17.7%
-0.9% 10.8% -15.0%
2.4% 3.3% 6.4%
8.1% -1.5% 5.6%
-7.1% -12.5% -9.7%
5.2% 2.4% 3.6%
-8.8% -1.8% -8.5%
2.4% 13.4% 4.3%
-0.5% -1.5% 4.5%

1.1% 1.7% 1.2%

CL NKE WAG
0.00059 0.00159 0.00131
0.00055 0.00210 0.00285
0.00163 0.00459 0.00577
0.00078 0.00063 0.00060
0.00144 0.00643 0.00640
0.00206 0.00104 0.00164
0.00104 0.00546 0.00324
0.00164 0.00324 0.00728
 CL NKE WAG

1
0.311597 1
0.424746 0.513625 1

Composicin de
CL NKE WAG Asset %
0.006% 0.000% 0.000% BRK-A 25.98%
0.002% 0.000% 0.000% AAPL 9.47%
0.000% 0.000% 0.000% AXP 0.00%
0.008% 0.000% 0.000% CPB 25.38%
0.000% 0.000% 0.000% DOW 0.00%
0.031% 0.000% 0.000% CL 38.63%
0.000% 0.000% 0.000% NKE 0.54%
0.000% 0.000% 0.000% WAG 0.00%
100.00%

CL NKE WAG
10.038% 0.140% 0.000%
3.656% 0.051% 0.000%
0.000% 0.000% 0.000%
 9.806% 0.136% 0.000%
0.000% 0.000% 0.000%
14.923% 0.208% 0.000%
0.208% 0.003% 0.000%
0.000% 0.000% 0.000%

CL NKE WAG
0.006% 0.000% 0.000%
0.002% 0.000% 0.000%
0.000% 0.000% 0.000%
0.008% 0.000% 0.000%
0.000% 0.000% 0.000%
0.031% 0.000% 0.000%
0.000% 0.000% 0.000%
0.000% 0.000% 0.000%
mposicin del portafolio

BRK-A AAPL AXP

CPB DOW CL

NKE WAG
Optimizacin de Portafolios - Markowitz

https://www.facebook.com/Femprende
Retornos
1 2 3 4 5
BRK-A AAPL AXP CPB DOW
12/2/2013 1.4% 0.7% 4.0% 11.8% 15.0%
11/1/2013 1.0% 7.0% 4.9% -9.0% -1.0%
10/1/2013 1.5% 9.6% 8.6% 5.4% 2.8%
9/3/2013 2.0% -2.1% 5.0% -5.7% 3.5%
8/1/2013 -3.9% 8.4% -2.5% -7.7% 6.8%
7/1/2013 3.1% 14.1% -1.0% 5.2% 8.9%
6/3/2013 -1.6% -11.8% -1.2% 4.6% -5.7%
5/1/2013 7.7% 2.2% 10.7% -7.8% 1.6%
4/1/2013 1.7% 0.0% 1.7% 2.3% 6.5%
3/1/2013 2.4% 0.3% 8.5% 10.2% 1.4%
2/1/2013 4.6% -2.5% 5.7% 12.1% -1.5%
1/2/2013 8.8% -14.4% 2.7% 5.2% -0.4%
12/3/2012 1.6% -9.1% 2.8% -3.5% 8.2%
11/1/2012 1.9% -1.2% -0.1% 4.2% 3.0%
10/1/2012 -2.4% -10.8% -1.2% 2.1% 1.2%
9/4/2012 4.9% 0.3% -2.5% -0.9% -0.1%
8/1/2012 -0.7% 9.4% 1.0% 6.2% 1.8%
7/2/2012 2.0% 4.6% -0.5% 0.1% -8.6%
6/1/2012 5.1% 1.1% 4.3% 5.3% 2.5%
5/1/2012 -1.6% -1.1% -7.3% -6.3% -8.3%
4/2/2012 -0.9% -2.6% 4.4% 0.8% -2.2%
3/1/2012 3.4% 10.5% 9.4% 1.6% 4.1%
2/1/2012 0.0% 18.8% 5.5% 5.1% 0.0%
1/3/2012 2.8% 12.7% 6.7% -4.6% 16.5%
12/1/2011 -3.2% 6.0% -1.8% 2.8% 4.7%
11/1/2011 1.3% -5.6% -5.1% -2.0% -0.6%
10/3/2011 9.5% 6.2% 13.2% 3.7% 24.2%
9/1/2011 -2.7% -0.9% -9.7% 1.6% -20.3%
8/1/2011 -1.6% -1.4% -0.7% -3.5% -18.4%
7/1/2011 -4.0% 16.3% -3.2% -3.5% -3.1%
6/1/2011 -2.2% -3.5% 0.5% -0.6% 0.3%
5/2/2011 -4.8% -0.7% 5.1% 3.5% -11.9%
4/1/2011 -0.4% 0.5% 9.0% 2.3% 8.6%
3/1/2011 -4.6% -1.3% 3.7% -1.6% 2.0%
2/1/2011 7.2% 4.1% 0.4% -1.4% 4.7%
1/3/2011 1.6% 5.2% 1.5% -1.8% 3.9%
12/1/2010 0.2% 3.7% -0.7% 3.4% 10.0%
11/1/2010 0.8% 3.4% 4.2% -6.5% 1.1%
10/1/2010 -4.2% 6.1% -0.9% 2.2% 12.3%
9/1/2010 4.9% 16.7% 5.4% -4.1% 13.3%
8/2/2010 1.4% -5.5% -10.7% 3.8% -10.9%
7/1/2010 -2.5% 2.3% 12.4% 1.0% 15.2%
6/1/2010 13.3% -2.1% 0.0% 0.1% -11.3%
5/3/2010 -8.2% -1.6% -13.6% -0.1% -12.7%
4/1/2010 -5.3% 11.1% 11.8% 1.4% 4.3%
3/1/2010 1.7% 14.8% 8.5% 6.9% 5.0%
2/1/2010 4.5% 6.5% 1.4% 0.7% 4.5%
1/4/2010 15.5% -8.9% -6.7% -2.0% -2.0%
12/1/2009 -1.4% 5.4% -3.1% -2.6% 0.0%
11/2/2009 1.6% 6.1% 20.1% 10.2% 18.3%
10/1/2009 -2.0% 1.7% 2.8% -1.9% -9.9%
9/1/2009 0.1% 10.2% 0.8% 4.0% 23.2%
8/3/2009 4.0% 2.9% 19.4% 1.1% 0.5%
7/1/2009 7.8% 14.7% 21.9% 6.4% 31.2%
6/1/2009 -1.7% 4.9% -5.8% 6.1% -7.8%
5/1/2009 -2.6% 7.9% -1.5% 7.8% 10.5%
4/1/2009 8.4% 19.7% 87.5% -5.2% 89.7%
3/2/2009 10.3% 17.7% 13.0% 2.2% 19.7%
2/2/2009 -12.2% -0.9% -27.9% -11.9% -38.2%
1/2/2009 -7.3% 5.6% -9.1% 1.2% -23.2%
12/1/2008 -7.1% -7.9% -20.4% -5.5% -16.9%
11/3/2008 -9.9% -13.9% -15.2% -15.5% -30.5%
10/1/2008 -11.6% -5.3% -22.0% -1.0% -16.0%
9/2/2008 12.0% -33.0% -10.7% 4.9% -5.8%
8/1/2008 1.9% 6.7% 6.9% 1.2% 2.5%
7/1/2008 -5.2% -5.1% -1.0% 9.5% -4.6%
6/2/2008 -10.3% -11.3% -18.7% -0.1% -12.6%
5/1/2008 0.6% 8.5% -3.5% -3.8% 0.6%
4/1/2008 0.3% 21.2% 10.2% 3.2% 9.0%
3/3/2008 -4.7% 14.8% 3.4% 5.1% -1.1%
2/1/2008 2.9% -7.6% -13.9% 2.3% -2.5%
1/14/2008

Activos individuales:
Retorno esperado 0.5% 2.5% 1.8% 0.8% 1.6%
Varianza 0.3% 0.9% 1.9% 0.3% 2.5%
Desviacin estndar 5.5% 9.3% 13.8% 5.3% 15.9%
Proporciones 0.00% 26.99% 0.00% 18.00% 0.00%

Matriz de Covarianzas
BRK-A AAPL AXP CPB DOW
BRK-A 0.00305 0.00028 0.00342 0.00060 0.00415
AAPL 0.00028 0.00864 0.00627 0.00035 0.00717
AXP 0.00342 0.00627 0.01913 0.00106 0.01890
CPB 0.00060 0.00035 0.00106 0.00280 0.00174
DOW 0.00415 0.00717 0.01890 0.00174 0.02519
CL 0.00059 0.00055 0.00163 0.00078 0.00144
NKE 0.00159 0.00210 0.00459 0.00063 0.00643
WAG 0.00131 0.00285 0.00577 0.00060 0.00640
Matriz de Correlaciones
BRK-A AAPL AXP CPB DOW
BRK-A 1
AAPL 0.0539275 1
AXP 0.4482344 0.487675 1
CPB 0.205546 0.071035 0.145168 1
DOW 0.4738171 0.48598 0.861234 0.207838 1
CL 0.2337611 0.131541 0.25892 0.326382 0.19985
NKE 0.3894522 0.306354 0.449603 0.161171 0.548025
WAG 0.2792741 0.359209 0.489404 0.132371 0.472574

Matriz de Markowitz
BRK-A AAPL AXP CPB DOW
BRK-A 0.000% 0.000% 0.000% 0.000% 0.000%
AAPL 0.000% 0.063% 0.000% 0.002% 0.000%
AXP 0.000% 0.000% 0.000% 0.000% 0.000%
CPB 0.000% 0.002% 0.000% 0.009% 0.000%
DOW 0.000% 0.000% 0.000% 0.000% 0.000%
CL 0.000% 0.006% 0.000% 0.005% 0.000%
NKE 0.000% 0.009% 0.000% 0.002% 0.000%
WAG 0.000% 0.000% 0.000% 0.000% 0.000%

Portafolio:
Varianza 0.18%
Desviacin estndar 4.23%

Retorno esperado 1.53%

wX * wY
BRK-A AAPL AXP CPB DOW
BRK-A 0.000% 0.000% 0.000% 0.000% 0.000%
AAPL 0.000% 7.286% 0.000% 4.859% 0.000%
AXP 0.000% 0.000% 0.000% 0.000% 0.000%
CPB 0.000% 4.859% 0.000% 3.240% 0.000%
DOW 0.000% 0.000% 0.000% 0.000% 0.000%
CL 0.000% 10.442% 0.000% 6.963% 0.000%
NKE 0.000% 4.406% 0.000% 2.938% 0.000%
WAG 0.000% 0.000% 0.000% 0.000% 0.000%

Markowitz risk
BRK-A AAPL AXP CPB DOW
BRK-A 0.000% 0.000% 0.000% 0.000% 0.000%
AAPL 0.000% 0.063% 0.000% 0.002% 0.000%
AXP 0.000% 0.000% 0.000% 0.000% 0.000%
CPB 0.000% 0.002% 0.000% 0.009% 0.000%
DOW 0.000% 0.000% 0.000% 0.000% 0.000%
CL 0.000% 0.006% 0.000% 0.005% 0.000%
NKE 0.000% 0.009% 0.000% 0.002% 0.000%
WAG 0.000% 0.000% 0.000% 0.000% 0.000%

Varianza 0.179%
Desviacin estndar 4.228%
 Florencia Roca, 2013

w.facebook.com/Femprendedores

6 7 8
CL NKE WAG
-0.7% -0.9% -3.0%
1.7% 4.5% 0.5%
9.7% 4.3% 10.1%
2.6% 15.6% 11.9%
-3.5% 0.2% -3.7%
5.1% -1.2% 13.7%
-1.0% 3.3% -7.5%
-3.1% -2.7% -3.0%
1.8% 7.8% 3.8%
3.1% 8.4% 16.5%
6.6% 1.1% 3.1%
3.3% 4.8% 8.0%
-3.7% 6.3% 9.2%
3.4% 6.7% -3.0%
-1.6% -3.7% -3.3%
0.9% -2.5% 1.9%
-1.0% 4.7% -0.9%
3.7% 6.4% 22.9%
5.9% -18.9% -3.1%
-0.6% -3.0% -12.3%
1.8% 3.2% 4.7%
4.9% 0.8% 1.0%
2.7% 3.8% 0.0%
-1.2% 7.9% 0.9%
1.0% 0.6% -2.0%
1.3% -0.2% 2.3%
2.5% 12.7% 0.9%
-1.4% -1.0% -6.6%
6.6% -3.9% -9.3%
-2.8% 0.2% -8.1%
-0.1% 7.0% -2.7%
3.8% 2.6% 2.5%
5.2% 8.7% 6.4%
2.8% -14.7% -7.4%
2.3% 7.9% 7.6%
-3.8% -3.4% 3.8%
5.0% -0.5% 11.8%
-0.8% 5.8% 3.4%
1.0% 1.6% 1.2%
4.1% 14.9% 24.6%
-6.5% -4.9% -5.3%
0.9% 9.0% 6.9%
0.9% -6.3% -16.7%
 -7.2% -4.6% -8.5%
-0.7% 3.3% -5.2%
2.8% 9.2% 5.2%
3.6% 6.1% -1.8%
-2.0% -3.5% -1.8%
-2.4% 2.3% -5.6%
7.1% 4.3% 3.2%
3.6% -3.9% 1.0%
4.9% 17.3% 10.6%
0.3% -2.2% 9.6%
3.0% 9.4% 5.6%
7.2% -8.8% -1.3%
11.8% 8.7% -4.9%
0.8% 11.9% 21.1%
-2.0% 13.6% 8.8%
-7.5% -8.2% -12.6%
-4.5% -11.3% 11.1%
5.3% -3.8% -0.3%
3.7% -7.6% -2.4%
-16.2% -13.9% -17.7%
-0.9% 10.8% -15.0%
2.4% 3.3% 6.4%
8.1% -1.5% 5.6%
-7.1% -12.5% -9.7%
5.2% 2.4% 3.6%
-8.8% -1.8% -8.5%
2.4% 13.4% 4.3%
-0.5% -1.5% 4.5%

1.1% 1.7% 1.2%

CL NKE WAG
0.00059 0.00159 0.00131
0.00055 0.00210 0.00285
0.00163 0.00459 0.00577
0.00078 0.00063 0.00060
0.00144 0.00643 0.00640
0.00206 0.00104 0.00164
0.00104 0.00546 0.00324
0.00164 0.00324 0.00728
 CL NKE WAG

1
0.311597 1
0.424746 0.513625 1

Composicin de
CL NKE WAG Asset %
0.000% 0.000% 0.000% BRK-A 0.00%
0.006% 0.009% 0.000% AAPL 26.99%
0.000% 0.000% 0.000% AXP 0.00%
0.005% 0.002% 0.000% CPB 18.00%
0.000% 0.000% 0.000% DOW 0.00%
0.031% 0.007% 0.000% CL 38.68%
0.007% 0.015% 0.000% NKE 16.32%
0.000% 0.000% 0.000% WAG 0.00%
100.00%

CL NKE WAG
0.000% 0.000% 0.000%
10.442% 4.406% 0.000%
0.000% 0.000% 0.000%
 6.963% 2.938% 0.000%
0.000% 0.000% 0.000%
14.965% 6.314% 0.000%
6.314% 2.664% 0.000%
0.000% 0.000% 0.000%

CL NKE WAG
0.000% 0.000% 0.000%
0.006% 0.009% 0.000%
0.000% 0.000% 0.000%
0.005% 0.002% 0.000%
0.000% 0.000% 0.000%
0.031% 0.007% 0.000%
0.007% 0.015% 0.000%
0.000% 0.000% 0.000%
mposicin del portafolio

BRK-A AAPL AXP

CPB DOW CL

NKE WAG