FINANCIAL UNCERTAINTY

Financial Uncertainty and Business Investment

Stockhammer & Grafl

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Abstract: The paper contributes to the empirical analysis of financial uncertainty and
investment from a Post Keynesian perspective. The paper uses the volatility of the
exchange rate, the volatility of the stock market index, and the real gold price as
indicators for financial uncertainty. An increase in the volatility of a variable is a
sufficient, but not a necessary condition for an increase in uncertainty regarding this
variable.

Introduction:

 We use the term financial uncertainty synonymously with uncertainty emanating from financial
markets.
 Three indicators for financial uncertainty will be used. Uncertainty on the foreign exchange market
and the stock market will be proxied by volatility measures, the volatility of the nominal effective
exchange rate and the stock market index respectively. We argue that with the volatility of a key
variable its degree of unpredictability also increases.
 Finally, the gold price will be used as a summary measure for financial uncertainty because gold is
often regarded as a ‘safe haven’ in situations of increased uncertainty.

Theoretical background:

 By an increase in uncertainty, New Keynesians mean a situation where the standard deviation of a
variable increases. To Post Keynesians this qualifies as a situation of risk rather than uncertainty
 Investment is merely the adjustment of the actual to the optimal capital stock. This adjustment will, if
there are sunk costs involved in investment (which realistically speaking will be the case), affect the
timing of investment. Increases in uncertainty may lead to the delay of investment
 An increase in the volatility of, say, the exchange rate also implies that the uncertainty over the
exchange rate has risen. However, there may be an increase in uncertainty over the exchange rate that
is not expressed in increases in volatility
 Ferderer (1993a) examined the uncertainty–investment link with a Post Keynesian approach on the
macro-level. The analysis is done for aggregate investment spending in the US from 1978 to 1991. He
uses the deviation within economic performance forecasts (forecast discord) as an indicator for
uncertainty. The uncertainty variable is introduced in two different investment models. The first
includes lagged values of real stock returns and the second includes an accelerator term and a cost-of-
capital variable. The study showed that the forecast discord explains a significant proportion of the
variation in aggregate investment spending. In addition, uncertainty was found to dominate stock
returns and interest rates in terms of explaining investment spending.

 Courvisanos (1997): Evidence for the uncertainty– investment relationship was found by comparing
historical patterns of capacity utilization, profits and increasing risk measured by leverage ratios

These studies do not elucidate the determinants of a variation in the profit expectation.

 Pindyck (1986) is the first empirical study in this area. He uses the variance of stock market returns
for testing whether uncertainty has an effect on aggregate investment, investment in structures and
investment in durable goods. Remarkably, the variance of the stock market returns is interpreted as a
measure of aggregate product market uncertainty

 Episcopos (1995): variance of the stock market index is interpreted as a proxy for profit variability.
An increasing variance of stock market volatility was again found to have a significant negative
impact on investment growth rates. Baum (2008) also use stock market returns as the uncertainty
measure but they distinguish between own uncertainty and market uncertainty. Own uncertainty is the
volatility of the firm’s stock returns; market uncertainty is derived from S&P 500 index returns.

Tobin’s q, the cash flow to capital stock ratio and the debt to capital stock ratio. When the two
uncertainty variables are applied separately they show a substantial negative impact on aggregate
investment. When both uncertainty measures and their interaction are applied simultaneously the
findings suggest a substantial negative effect of own uncertainty and the interaction of own and
market uncertainty, but market uncertainty has a positive effect
Estimation strategy and data

The study considers five OECD countries. Since financial uncertainty is not directly observable and we
are using indicators, the estimation for several countries is necessary to assess the reliability and validity
of the results. This section comprises the specification of the investment model, the description of the
financial uncertainty variables and their computation, and the motivation for the chosen countries.

Investment function:
I = f (Y, r, UV)

where I, Y and r are real private investment, real GDP and the real (ex post) long-term
interest rate, respectively; UV is the uncertainty variable

Three indicators for financial uncertainty are used

1) For uncertainty originating from foreign exchange markets is the volatility of the country specific
nominal effective exchange rate (UEX)
2) For uncertainty originating from domestic financial markets the volatility of the respective stock
market index (UST) is used
a. Volatility is computed by taking the 12-month moving average of the squared changes of
the de-trended first logarithm of the variable
b. The trend is computed by a Hodrick-Prescott-Filter (power = 1000)
3) Indicator that covers uncertainty from both domestic and foreign financial markets: real gold
price, in national currencies deflated by the GDP-deflator (UGP)

The developments of UEX, UST and UGP over time by decade are shown in
Table 2. The values for the 2000s are not strictly comparable since they end in
2005 and thus exclude the turbulent year 2007
In the specification with UEX as the uncertainty variable (Table 3(a)), the US and the Netherlands pass
the cointegration test (at the 10% level). UEX is statistically significant (at the 1% level) in these cases
and has a negative effect on investment. The coefficient estimates are –13.44 and –17.57 respectively.
Difference specifications for the countries where the test failed to reject the null of no cointegration, give
the statistically significant (at the 10% level) effect of the first lag of DUEX in the UK.

When UST is used as the uncertainty variable (Table 3(b)), cointegration is found only for the
Netherlands. There, UST is statistically significant at the 1% level with the expected sign. In difference
specifications for the other countries, statistically significant negative effects were found for the US (at
the 1% level for contemporaneous DUST) and the UK (at the 5% level for the second lag of DUST).

With UGP as the uncertainty variable the cointegration is passed in the US, and the Netherlands (Table
3(c)). The coefficient estimate is only statistically significant in the US. Difference specifications do not
indicate statistically significant effects for the other countries.
The findings match our expectations regarding country characteristics only partially. Clearly, uncertainty
seems to be more important in countries with a market-based financial system. Most consistently, we find
clear evidence that uncertainty plays an important role in the US and the Netherlands. No evidence was
found for Germany and France. This suggests that financial systems play a crucial role in the transmission
of financial uncertainty
Firm survival, uncertainty, and financial frictions: is there a financial uncertainty
accelerator?
Bryne, Spaliara, Tsoukas

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 Examination of the impact of firm-specific uncertainty on corporate failures

 The paper considers the role of firm-level uncertainty in firms hazard of failure during economic
downturns. Generates the measure of firm-specific uncertainty that stems from firms’ volatility in
sales
 Empirical work based on the assessment of firm-specific uncertainty of firms’ chances of failure
using and unbalanced panel of 9457 UK firms between 2000 and 2009
o Failure probability for firms with different balance sheet characteristics and exposure in
micro and macro uncertainty
o Investigates link between uncertainty and firm survival
 More bank-dependent and non-public firms are greatly impacted by uncertainty, and this effect is
magnified during the crisis.

Research questions

 Examine the impact of firms-specific uncertainty on the hazard of failure in and out of the most
recent financial crisis  tested through interactions between the measure of uncertainty and a time-
period.

Empirical specification

Baseline Model. To evaluate the effect of uncertainty on the likelihood of firm failure, we use a
complementary log–log model (clog log), a discrete time version of the Cox proportional hazard model.
This methodology is particularly indicated given that we are interested in investigating the determinants
of the timing of firms’ chances of failure.

Clog log model: accounts for the incompletely observed lifespan of firms surviving past the sample and
allows to capture the exact time of failure, addressing in this way the potential right censoring bias.

Proportional hazard model: assumes that the hazard ratio depends only on time at risk (baseline hazard)
and explanatory variables affecting the hazard independently of time.

The discrete-time hazard function, h(j, K), shows the interval hazard for the period between the beginning
and the end of the jth year after the first appearance of the firm.

Hazard rate:

Explanation: a positive coefficient indicates that an increase in the associated explanatory variable leads
to an increase in the hazard of failure in a given year.
Benchmark model to estimate how firms’ probability of failure is affected by uncertainty and their
financial conditions:

Sigma represents the uncertainty measured at the (micro firm) level.

The sign and significance of B shows that importance of uncertainty on the probability of firms’ failure.

Measuring Firm-Specific Uncertainty

They construct the uncertainty measure by

1) Estimating first and AR(1) model of sales
2) Employ GMM system estimator
3) Uncertainty is then computed as the standard deviation of the firm’s total real sales calculated
over the 3 years preceding and including year t.

To begin with financial leverage, which is measured as the ratio of total current liabilities over total
assets, we note that high levels of existing debt are associated with a worse balance sheet situation, which
would increase moral hazard and adverse selection problems, and lead to the inability of firms to obtain
external finance at a reasonable cost.

Profitability is defined as the ratio of the firm’s profits before interests and tax to its total assets. We use
this indicator to measure a firm’s efficiency.

The effect of the Crisis

 Examine whether the hazard of failure differs in crisis years compared with tranquil periods

Financial-accelerator-related hypothesis, according to which a deterioration in economic conditions

negatively affects the health of firms’ balance sheets.
Firms facing increased levels of uncertainty might face a higher probability of failure during the crisis
than outside.
We expect the effects of changes in the uncertainty on firms’ chances of failure to be stronger during the
crisis (B1 > B2)

Capturing Firm Heterogeneity.

At the next stage we aim to assess whether changes in the level of uncertainty of firms in and out of the
crisis will
have a differential impact on their probability to fail, taking into account firm heterogeneity. To test this
hypothesis we consider whether firms are more or less
bank dependent.

DATA AND SUMMARY STATISTICS

Data description

Figure 1:
average
values of the
firm-specific
uncertainty
per annum

 Both
measures of
uncertainty
follow a
similar trend
over our
sample period

P values of a test for

the equality of means
between failing and
surviving firms as crisis and no crisis periods are presented in columns 4 and 7.

When comparing failing and surviving firms, we note that the former exhibit a substantially higher firm-
specific uncertainty. We also observe that surviving firms are less indebted and more profitable compared
with failing firms.

The average failure rate and the firms-specific uncertainty are statistically significant in both cases.
During the crisis firms display lower values of leverage and higher profitability

These summary statistics suggest that there is a significant correlation between firms’ failure rates, firm-
specific uncertainty, and firms’ financial health.
Main results

Firm-specific Uncertainty and the Financial Crisis

 To assess the role of the firm-specific uncertainty in

firms’ hazard of failure, we focus on the direct and
indirect impact on the probability of survival.
Column 1: firm-specific uncertainty along with time,
industry and regional dummies.
Column 2: uncertainty is included along with a number of
firm-specific and other control variables to assess the
consequences of a ceteris paribus increase in uncertainty on
the probability of the firms’ failure
Colum 3: asymmetric response through interactions with
the firm-specific uncertainty in the financial crisis.

The coefficient on the firm-specific uncertainty exerts a

positive and highly significant effect on failure

Increases in the firm-specific uncertainty will therefore

negatively affect firms’ survival prospects.

The coefficient associated with the aggregate

uncertainty is positive and precisely determined,
suggesting that higher levels of macro uncertainty
are likely to increase the incidence of
corporate failure

 Lastly, as in Baggs, Beaulieu, and Fung (2009), a

stronger local currency raises the probability of firm
failure, while higher levels of aggregate uncertainty will raise the probability of failure.

Column 3 of table 3: shows that uncertainty has a more potent role during the crisis, because the
coefficient on the interaction with the crisis dummy is positive and highly significant.
A 1% increase in the firm-specific uncertainty would raise the hazard of failure by 19.45% over the crisis
period of 2007-2009 but only by 9.88% during tranquil periods.

Re-Defining Firm-Specific Uncertainty

 So far, we have used the 3-year moving standard deviation of the unpredictable part of sales to
generate our uncertainty measure.
 Shows that the firm-specific uncertainty is more important in predicting firm failures during the crisis
compared with tranquil times.
 Bank-dependent firms’ survival chances are affected significantly more by changes in uncertainty
during the crisis compared with more tranquil periods.

Conclusions

 Debate about the exact mechanism by which uncertainty affects the economy.
 One popular idea: financial conditions accelerate the uncertainty impact on the economy
 Firms exhibiting greater reliance on bank debt and nonpublic firms shall be more sensitive to
uncertainty.

Las referencias del inversor cuando no hay referencias

Marcelo Rossi
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En los mercados existen ciclos de turbulencia y volatilidad.

 Falta de distinción entre monedas, commodities, bonos o acciones
 Horizonte político influenciado por comportamientos políticos

Ante estas circunstancias cualquier experto recomendaría diversificar. ¿Qué hacer entonces cuando no
encontramos puntos de referencia contra los cuales discernir entre qué es bueno o malo?

 Un inversor debe tener en claro cuáles son sus referencias de liquidez, rentabilidad y exposición a los
riesgos.
 Cuanto más tiempo disponga alguien para analizar una inversión, menor será la probabilidad de
equivocarse.
 El autor recomienda intentar invertir en empresas u otros tipos de activos en donde uno pueda
entender como ganan o como pueden perder dinero
o ¿A que estas expuestas y como se pueden defender?
o ¿Qué tan bien gerenciados están y de que depende su sustentabilidad?
Financial uncertainty, risk aversion and monetary policy
Nkwoma John Inekwe

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Abstract: We estimate the response of uncertainty/risk aversion to monetary policy actions in both the
financial sector and the aggregate economy using a structural vector autoregressive model. When
compared with other sectors, our constructs reveal that financial risk aversion/uncertainty has greater
correlation with the aggregate risk aversion and uncertainty. Our analysis reveals that financial risk
aversion and uncertainty exhibit stronger interdependence with monetary policy actions than aggregate
uncertainty and risk aversion. Tighter monetary policy induces risk aversion and uncertainty increment in
both the financial sector and the aggregate market. However, the financial sector risk aversion and
uncertainty responses are of greater magnitude.

Introduction:
 Changes features of the financial sector have encouraged monetary controls as well as prudential
controls such as capital regulation.
 The paper analysis investors’ risk aversion by examining the financial sector and the aggregate
economy

1) Examine the link between monetary policy surprise, risk aversion and uncertainty in the financial
sector and the aggregate economy
2) Revealing financial market response to unanticipated US monetary policy announcement and
changes in the monetary policy stand
3) Measures of realised variance and risk-neutral integrated variance at sector level
4) Asymmetries in the response of uncertainty and risk aversion in the financial sector and the
aggregate economy to monetary policy actions.
5) Summarise the financial and aggregate constructs linkage with monetary policy actions in a
structural vector autoregressive (SVAR) framework.
a. Uses the VAR methodology in the analysis of monetary policy and economic shock
relationship

Computation of variables

 Estimating unanticipated monetary policy and monetary policy stance

Gurkaynak (2005)  anticipated changes to Fed actions will exhibit zero of negligible impact on asset
price. The changes in the Fed funds target rate would be the measure of unanticipated policy by the
financial markets

It becomes appropriate to distinguish between anticipated and unanticipated monetary news while
establishing their impacts on uncertainty and risk aversion in different sectors.

The unanticipated month-t policy change is month-t average target rate minus one-month futures rate on
the last day of month t−1:
where it,n is funds target rate on month t at day n and f 1 t−1,N is the corresponding one-month futures
contract rate on last day (N)th of month t − 1.

 Construction of uncertainty and risk aversion

There exists a link between coefficient of inverstors’ risk aversion within the asset pricing framework and
stochastic volatility risk premium.
o The volatility risk premium is directly proportional to the coefficient of constant relative risk
aversion.
o To obtain the measure of uncertainty and risk aversion, realized and implied variances for the
aggregates S&P500 index are computed.

Similarly, we compute these variances for the financial sector as well as the energy, health and
telecommunicationinformation technology. To obtain a measure of volatility (integrated variance), we
compute daily variance estimated from the intra-day stock prices and their return and collapse these
values to monthly values. We obtain implied volatility values for each constituent under S&P 500 and
compute the sector values.11 The forecast involves the projection of future realised variance against
current predictor variables. Through ordinary least squares (OLS) regression, the forecasts of risk
aversion and uncertainty values are obtained.

The physical measure of the conditional expectation of variance in total return (predicted value) is the
measure of our uncertainty, while the difference between the risk-neutral expectation (square of implied
variance) and the predicted value is the measure of variance risk premium (risk aversion)

In examining monetary policy and risk aversion in the financial sector, the paper exemplifies four sectors
of (Standard and Poor) S&P 500 and also the aggregate S&P 500 index as 11 Given that 500 companies
are involved, where they obtain monthly implied volatility for each company. These four sectors also
have the sector index of stock prices at the ultra-high frequency

They calculate their measure of uncertainty and risk aversion using model-free implied volatility (VIX
squared) and realised variance. The optionimplied volatility is for each constituent under S&P 500 using
the weighted average of put and call option-implied volatility.

3.2 Identification of monetary policy stance

The benchmark vector autoregressive (VAR) model comprises a vector of variables Xt = [πt, Et, Mt, Rt,
Ut] . The variables are: macroeconomic variables; (πt); the difference of the consumer price index (Et);
log difference of industrial production or employment(Mt); Federal funds rate or Treasury bill,(Rt);the
log of risk aversion and (Ut); and the log of uncertainty. Various specifications are presented, and each
variable is used in the same form presented above. Assume Xt to represent a (5 ∗ 1) vector of variables
discussed above and ordered exactly in this same manner. This scheme implies monetary policy
contemporaneously affect uncertainty and risk aversion, while they affect monetary policy with a lag.

4. Results

The estimation reveals that uncertainty in the health sector occupies a second position, while its risk
aversion correlation with the aggregate measure takes the least position. Uncertainty in the energy sector
has the least correlation with the aggregate index in both samples, while energy risk aversion takes the
second position in both samples. Uncertainty in the telecommunication—information technology takes
the third position.

They present the graphs of the financial risk aversion and uncertainty and the aggregate constructs. They
present both short and short/long-run estimates focusing more on risk aversion, uncertainty and monetary
policy variables.
4.2.1 Dynamic responses of market and financial risk aversion to cleansed US monetary policy news

In this section, they present the dynamic responses of aggregate, financial risk aversion and uncertainty to
US monetary policy changes.

 In Fig. 2, the results of the full sample estimation of the structural response of market aversion and
financial risk aversion to unanticipated monetary policy shock are given (exogenous shock).
o Following an unconditional standard deviation, an unexpected monetary policy shock induces
a positive effect on market risk aversion in the long run.
o Looking at the short-run restriction result, the response of market risk aversion to monetary
policy surprise is signifi- cant (90% confidence level).
o Market risk aversion increases after lag 3.

 Similarly, the response of market uncertainty to an unexpected monetary shock is significant after lag
1.
o Market uncertainty soars by 0.001% in the long run.
o For an unanticipated monetary policy shock, its impacts on financial uncertainty exhibits
greater magnitude.
o With a monetary policy surprise, financial risk aversion increases up to 0.007%

 Financial uncertainty increases at impact.

 Risk aversion and uncertainty responses are statistically significant at the VAR benchmark
significance level.
 The responses of both aggregate and financial risk aversion to monetary surprises exhibit similar
patterns in this model; however, the results show that financial sector uncertainty has a huge response
to monetary surprise shocks.
o A standard deviation shock to market risk aversion induces a significant fall in the Treasury
bill. This effect is negative on impact and further deepens gradually and consistently in
congruence with theoretical expectation. Treasury bill shows greater response to financial
risk aversion shock. An increasing pattern of response by market risk aversion is observed in
the medium run against a positive shock to the Treasury bill.
 Financial risk aversion in contrast soars at impact and initiate a further increase in the medium run.
From the result, a monetary shock increases uncertainty in the financial sector than it does in the
aggregate market
5. Conclusion

This study provides the first dynamic empirical evidence of greater investors’ risk aversion and
uncertainty of the financial sector to monetary policy changes. Investigate the response of investors’ risk
aversion, uncertainty in aggregate and disaggregate (financial sector) markets to US monetary policy
actions.

 The paper computes a measure of monthly monetary surprise and consider asymmetries in monthly
surprise measure.
 They compute measures of realised and implied volatilities, from which we forecast our risk aversion
measure and uncertainty at aggregate and disaggregate levels.
 They compute realised volatilities from intraday stock prices for the aggregate and disaggregate
markets.

Examining the interdependence of risk aversion and monetary policy in a SVAR procedure, we find that
in both full and sub-sample specifications, the magnitude of financial risk aversion and financial
uncertainty responses to Fed actions remain higher than market risk aversion and uncertainty responses.
In general, we find that contractionary monetary policy induces increase in financial, market risk aversion
and uncertainty.

The empirical evidence shows strong and significant response of monetary policy measures to market risk
aversion, but stronger response to financial risk aversion in both short-run and contemporaneous/ long-
run restrictions.

“Our main conclusion is that the financial sector responds more than the market does to monetary policy
actions. In addition, financial sector possess greater strength in driving monetary policy changes and
movement in macroeconomic variables than does the aggregate market.”.
BIXX

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BetterInvesting Top 100 Index, 

Tracking Main Street Investors' Holdings, 
Outperforms S&P Index Past Five Years

MADISON HEIGHTS, Mich., Aug. 6, 2013 — Through July 31, the BetterInvesting Top 100 Index
(BIXX) increased by 14 percent annually for the previous five years, compared with 11.8 percent for the
Standard & Poor's 500 Equal-Weight Index (based on a total return for both indexes in which dividends
are reinvested). For the month of July, BIXX increased by 5.9 percent, also higher than the 5.5 percent for
the S&P 500 EWI. 

BIXX's total return index ended July at 260.95, compared with 135.58 on July 31, 2008. The index stood
at 246.43 on June 28.

The BetterInvesting Top 100 Index comprises the most popular holdings of investment clubs, employing
annual data from the myICLUB.com online club accounting program. The NASDAQ OMX Group
manages the index, which began on April 9, 2007, at a base value of 150. BIXX is equal-weighted,
meaning that each component has a weighting of 1 percent.

BIXX reflects actual portfolio decisions by individual investors in investment clubs, while other indexes
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members and investment clubs tend to have a longer-term focus than do institutions, with clubs' average
holding period for stocks at 2.7 years, according to myICLUB.com data.

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BIXX includes companies of all sizes, from small firms such as Bio-Reference Labs to the world's
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To track the performance of BIXX, go to the NASDAQ site: www.nasdaq.com/symbol/bixx/stock-chart.

The total return index symbol is BIXR.
Metodologías para la medición del riesgo financiero en inversiones

Abstract: The risk this inevitably related to the uncertainty that is had on future events, which causes that
it is impossible to eliminate it, nevertheless, we must face it, especially when financial risk is, which we
must administer suitably identifying its origins and the degree in which this affecting to us, to choose the
best ways available to diminish it. Next, some methodologies available treat to administer the financial
risk, trying to diminish it to the maximum, to obtain greater yields.

El riesgo financiero:

 La incertidumbre no es más que una situación general de desconocimiento del futuro, mientras que el
riesgo, es la probabilidad de que ocurra un evento desfavorable.
 El riesgo está ligado a la incertidumbre sobre eventos futuros

En un mundo de certeza, las decisiones financieras resultan triviales, así, el costo de oportunidad es igual
a la tasa libre de riesgo, debido a que la probabilidad de ocurrencia es del 100%, (p[x]=1); pero cuando el
nivel de certeza disminuye, es decir, cuando hay incertidumbre (p[x]<1), la dimensión de riesgo aparece
como un nuevo elemento a considerar, que se enfrenta no solo a activos libres de riesgo, sino a una muy
amplia gama de otros activos riesgosos.

Situaciones en las cuales se puede analizar el riesgo por medio de la probabilidad construyendo una lista
de eventos a la cual se asigna una probabilidad de ocurrencia, obteniendo de esta forma una distribución
de probabilidad (ver figura 1).

El riesgo está siempre ligado a la incertidumbre sobre eventos futuros

Riesgo financiero

1. Riesgo Tasa de Interés: Asociado con el cambio en el valor de mercado de una posición financiera
como consecuencia de la variación en las tasas de interés.

2. Riesgo de Crédito: riesgo asociado con la posibilidad de quiebra de la contraparte responsable de una
obligación financiera
3. Riesgo de Mercado: riesgo asociado a la empresa que no es diversificable mediante la creación de
portafolios de inversión.
4. Riesgo Tasa de Cambio: riesgo asociado con la variación del valor de los activos y/o pasivos
denominados en moneda extranjera, como consecuencia de la devaluación/reevaluación de la moneda
frente a la otra.

2.1 Medición de riesgo individual (Rj)

 A través de una distribución de probabilidad se debe observar la variabilidad de rendimientos posibles

para dos proyectos.
 Mientras más variables sean los rendimientos posibles en un Proyecto, más riesgoso es.

Cuando se habla de riesgo individual, se trata de analizar específicamente una sola inversión. Se propone
similar tres situaciones de estado de la economía: Boom, Normal, Recesión.
A cada uno de los cuales se debe asociar una probabilidad de ocurrencia y una tasa de rendimientos de las
acciones. Para determinar el rendimiento esperado, se mide por medio de la desviación estándar.

2.2 Medición del riesgo de cartera (Rp)

Para minimizar el riesgo financiero, se tiene la opción de invertir en diferentes tipos de acciones. Una
cartera es un conjunto de valores o activos de inversiones. Por ejemplo, al poseer acciones de Bavaria,
EPM1 y del Banco Santander, usted tiene una cartera conformada por tres tipos de acciones. El
rendimiento esperado de una cartera, es el promedio ponderado de los rendimientos esperados de las
acciones individuales que conforman la cartera de acciones.

Efecto del tamaño de la cartera sobre el riesgo

 Al aumentarse el tamaño de la cartera, se elimina la cantidad

de riesgo, pero esta no puede eliminarse completamente.
 El riesgo diversificable también es conocido como riesgo no
sistemático o de la compañía, y éste se puede minimizar con una buena cartera de acciones, mientras
que el riesgo no diversificable, conocido como riesgo sistemático, no es posible eliminarlo, porque
depende de factores externos que afectan a todo tipo de acción
VAR: Value at risk

 Método más generalizado para medir y estimar el riesgo de mercado total al que una entidad se ve
expuesta.
 Busca un único valor que totaliza y englobe el riesgo de mercado a que se está expuesto en diferentes
posiciones, en un solo número.

Se define como el valor máximo de pérdidas por mantener el actual portafolio de posiciones con un nivel
especifico de probabilidad durante un periodo determinado de tiempo.

1) Identificar cuáles son los factores que afectan el valor de portafolio de la empresa
2) Descomponer los diferentes tipos de acciones que posee

Estimación estadística del riesgo de pérdida en condiciones normales de mercado.

La diversificación en un portafolio de inversiones, no solo se logra con diferentes tipos de acciones,

también se deben incluir Bonos, Opciones, Futuros, etc., logrando así mitigar el riesgo a que se está
expuesto y obteniendo más seguras rentabilidades.