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    Cartera A-B: Desviacion Estandar

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    Fernando Ticona
    The document contains information about various investment portfolios including their expected returns, variances, and volatility. It analyzes how returns and risk change as the weighting of different assets in a portfolio change. For example, as more high-risk/high-return Asset B is included, the expected return increases but so does the variance and volatility. Charts are presented showing the efficient frontier of different two-asset portfolios.

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    Cartera A-B: Desviacion Estandar

    Uploaded by

    Fernando Ticona
    36 views6 pages
    The document contains information about various investment portfolios including their expected returns, variances, and volatility. It analyzes how returns and risk change as the weighting of different assets in a portfolio change. For example, as more high-risk/high-return Asset B is included, the expected return increases but so does the variance and volatility. Charts are presented showing the efficient frontier of different two-asset portfolios.

    Original Description:

    FINANZAS CORPORATIVAS

    Original Title

    EJERCICIO 3

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    The document contains information about various investment portfolios including their expected returns, variances, and volatility. It analyzes how returns and risk change as the weighting of different assets in a portfolio change. For example, as more high-risk/high-return Asset B is included, the expected return increases but so does the variance and volatility. Charts are presented showing the efficient frontier of different two-asset portfolios.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    36 views6 pages

    Cartera A-B: Desviacion Estandar

    Uploaded by

    Fernando Ticona
    The document contains information about various investment portfolios including their expected returns, variances, and volatility. It analyzes how returns and risk change as the weighting of different assets in a portfolio change. For example, as more high-risk/high-return Asset B is included, the expected return increases but so does the variance and volatility. Charts are presented showing the efficient frontier of different two-asset portfolios.

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    © All Rights Reserved
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    Download as xlsx, pdf, or txt
    of 6

    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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