Cartera A-B: Desviacion Estandar

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Desviacion E.

Retorno
A 12% 13%
B 15% 22%

A B Rendimiento eVar Desv


0% 100% 22.0% 0.0225 15.0%
5% 95.00% 21.6% 0.0203 14.3%
10% 90.00% 21.1% 0.0184 13.6%
15% 85.00% 20.7% 0.0166 12.9%
20% 80.00% 20.2% 0.0150 12.2% CA
25% 75.00% 19.8% 0.0136 11.6%
30% 70.00% 19.3% 0.0123 11.1% 25.0%
35% 65.00% 18.9% 0.0113 10.6% RENDIMIENTO (%)
20.0%
40% 60.00% 18.4% 0.0104 10.2%
45% 55.00% 18.0% 0.0097 9.9% 15.0%
50% 50.00% 17.5% 0.0092 9.6%
10.0%
55% 45.00% 17.1% 0.0089 9.4%
60% 40.00% 16.6% 0.0088 9.4% 5.0%
65% 35.00% 16.2% 0.0088 9.4%
0.0%
70% 30.00% 15.7% 0.0091 9.5% 9.0% 10.0% 11.0
75% 25.00% 15.3% 0.0095 9.8%
80% 20.00% 14.8% 0.0101 10.1%
85% 15.00% 14.4% 0.0109 10.4%
90% 10.00% 13.9% 0.0119 10.9%
95% 5.00% 13.5% 0.0131 11.4%
100% 0.00% 13.0% 0.0144 12.0%

B
B A
B
Desviacion E. Retorno
12%
15%
13%
22%
ponderacion
40%
20%
C 0% 10% 40%

retornos
-0.5 -0.016
0 0
0.9 0.0288
varianza 0.0128

retorno 13.600%
varianza 0.0128
volatilidad 11%

C
Desviacion Est Re
A 12% 13%
B 15% 22%
C 0% 10%

CARTERA A-C De Re
A 12% 13%
C 0% 10%

A C Rendimiento eVar Desv


0% 100% 10.0% 0.000000 0.00%
10% 90% 10.3% 0.000144 1.20%
20% 80% 10.6% 0.000576 2.40%
30% 70% 10.9% 0.001296 3.60%
40% 60% 11.2% 0.002304 4.80%
50% 50% 11.5% 0.003600 6.00%
60% 40% 11.8% 0.005184 7.20%
70% 30% 12.1% 0.007056 8.40%
80% 20% 12.4% 0.009216 9.60%
90% 10% 12.7% 0.011664 10.80%
100% 0% 13.0% 0.014400 12.00%

CARTERA A-C
14.0% 25.0%

12.0%
O ESPERADO

20.0%
ESPERADO

10.0%
15.0%
8.0%
CARTERA A-C
14.0% 25.0%

12.0%

RENDIMIENTO ESPERADO
20.0%

RENDIMIENTO ESPERADO
10.0%
15.0%
8.0%

6.0% 10.0%

4.0%
5.0%
2.0%

0.0% 0.0%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 0.00%

VOLATILIDAD

D
Desviacion Est Re
A 12% 13% 0.33333333 0.04333333
B 15% 22% 0.33333333 0.07333333
C 0% 10% 0.33333333 0.03333333
0.15 0.0041

A B REN ESP VAR DESV 25.00%


0% 100% 22.00% 0.0225 15.00%
10% 90% 21.10% 0.018369 13.55% 20.00%

RENDIMIENTO ESPERADO
20% 80% 20.20% 0.014976 12.24% 15.00%
30% 70% 19.30% 0.012321 11.10%
40% 60% 18.40% 0.010404 10.20% 10.00%
50% 50% 17.50% 0.009225 9.60%
5.00%
60% 40% 16.60% 0.008784 9.37%
70% 30% 15.70% 0.009081 9.53% 0.00%
80% 20% 14.80% 0.010116 10.06% % %
00 00
90% 10% 13.90% 0.011889 10.90% 0. 2.

100% 0% 13.00% 0.0144 12.00%


CARTERA A-B
25.0%

20.0%

15.0%

10.0%

5.0%

0.0%
9.0% 10.0% 11.0% 12.0% 13.0% 14.0% 15.0% 16.0%
desviacion estandar
CARTERA B-C De Re
B 15% 22%
C 0% 10%

B C Rendimiento Var Desv


0% 100% 10.0% 0.000000 0.00%
10% 90% 11.2% 0.000225 1.50%
20% 80% 12.4% 0.000900 3.00%
30% 70% 13.6% 0.002025 4.50%
40% 60% 14.8% 0.003600 6.00%
50% 50% 16.0% 0.005625 7.50%
60% 40% 17.2% 0.008100 9.00%
70% 30% 18.4% 0.011025 10.50%
80% 20% 19.6% 0.014400 12.00%
90% 10% 20.8% 0.018225 13.50%
100% 0% 22.0% 0.022500 15.00%

CARTERA B-C
25.0%
O ESPERADO

20.0%

15.0%
CARTERA B-C
25.0%

RENDIMIENTO ESPERADO
20.0%

15.0%

10.0%

5.0%

0.0%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00%
VOLATILIDAD

6.40%

CARTERA TANGENTE
25.00%

20.00%
RENDIMIENTO ESPERADO

15.00%
CARTERA AB
10.00% CARTERA AC
CARTERA BC
5.00%

0.00%
% % % % % 0% 00% 00% 00%
00 00 00 00 00 .0
0. 2. 4. 6. 8. 10 12
.
14
.
16
.

VOLATILIDAD

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