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CALCULO DE RIESGO CON PROBABILIDAD DE UN PORTAFOLIO

PROBAB. RENTABILIDAD RENTABILIDAD DESVIACION


ESCENARIOS BACKUS MEPSA BACKUS

RECESIVO 0.30 -0.010 0.040 0.003121


NORMAL 0.50 0.110 -0.070 0.000162
AUGE 0.20 0.200 -0.120 0.002333

MEDIA 9.20% -4.70%


DESV ESTÁNDAR 7.49% 6.00%
COEF. VARIAC. 0.8146 -1.2768
VARIANZA 0.0056
COVARIANZA
C. CORRELACION

CARTERA DE DOS ACTIVOS


PESOS Wa = 30%
PESOS Wb = 70%
RENDIMIENTO ESPERADO DEL PORTAFOLIO

E(Rp) = -0.53%

CARTERA DE MINIMO RIESGO


Wa = 0.4443647 0.4446764344
DE UN PORTAFOLIO

DESVIACION COVARIANZA
MEPSA BACKUS Y
MEPSA

0.002271 -0.002662
0.000265 -0.000207
0.001066 -0.001577

0.0036
-0.0044
-0.9887

RIESGO DEL PORTAFOLIO

VARp = 0.0004
VARp = 0.0004
SDp = 2.01%

CORR1,2= -0.9887
Año Rent. Mercado Rent. Atacocha (Ri-Rei) (Rj-Rej) (Ri-Re)2
1996 12.30% -10.60% 0.01160 (0.12920) 0.00013456
1997 15.60% 6.30% 0.04460 0.03980 0.00198916
1998 8.20% 9.40% (0.02940) 0.07080 0.00086436
1999 7.90% 8.80% (0.03240) 0.06480 0.00104976
2000 11.70% -2.30% 0.00560 (0.04620) 0.00003136
Suma 0.0040692
Mercado Atacocha
Rendimiento 11.14% 2.32%
Desviaciòn tipica 3.19% 8.61% Desv Portafolio
Covarianza (0.00104085) Wx 0.80407341
Coeficiente de Corr (0.38) Rend Esperad0.09411928
Riesgo del Po 2.48%
2.478%
(Ri-Re)2 (Ri-Rei)*(Rj-Rej)
0.01669264 (0.00149872)
0.00158404 0.00177508
0.00501264 (0.00208152)
0.00419904 (0.00209952)
0.00213444 (0.00025872)
0.0296228 (0.00416340)

0.19592659
Portafolio
Año X Y Z (50%X +50%Y)
2013 8% 16% 8% 12%
2014 10% 14% 10% 12%
2015 12% 12% 12% 12%
2016 14% 10% 14% 12%
2017 16% 8% 16% 12%

Valor esperado 0.12 0.12 0.12 0.12


Desv Estandar 0.0316227766 0.03162278 0.03162278

Varianza Varianza
-4% 0.0016
-2% 0.0004
0% 0
2% 0.0004
4% 0.0016
0.004
Varianza 0% Varianza

X Y
2013 8% 16% (0.04000) 0.04000
2014 10% 14% (0.02000) 0.02000
2015 12% 12% 0.00000 0.00000
2016 14% 10% 0.02000 (0.02000)
2017 16% 8% 0.04000 (0.04000)
Suma
X Y
Rendimiento 12.00% 12.00%
Desviaciòn t 3.16% 3.16% Desv Portafolio
Covarianza (0.00100000) Wx
Coeficiente (1.00) Rend Esperado Portafol
Riesgo del Portafolio

Y Z
2013 16% 8% 0.04000 (0.04000)
2014 14% 10% 0.02000 (0.02000)
2015 12% 12% 0.00000 0.00000
2016 10% 14% (0.02000) 0.02000
2017 8% 16% (0.04000) 0.04000
Suma
Y Z
Rendimiento 12.00% 12.00%
Desviaciòn t 3.16% 3.16% Desv Portafolio
Covarianza (0.00100000) Wx
Coeficiente (1.00) Riesgo del Portafolio

Mercado Atacocha
2013 12.30% -10.60% 0.01160 (0.12920)
2014 15.60% 6.30% 0.04460 0.03980
2015 8.20% 9.40% (0.02940) 0.07080
2016 7.90% 8.80% (0.03240) 0.06480
2017 11.70% -2.30% 0.00560 (0.04620)
Suma
X Y
Rendimiento 11.14% 2.32%
Desviaciòn t 3.19% 8.61% Desv Portafolio
Covarianza (0.00104085) Wx
Coeficiente (0.38) Rend Esperado Portafol
Riesgo del Portafolio
(50%X+50%Y)XZ
8%
10%
12%
14%
16%

0.12

Varianza Varianza Varianza Varianza


4% 0.0016 -4% 0.0016
2% 0.0004 -2% 0.0004
0% 0 0% 0
-2% 0.0004 2% 0.0004
-4% 0.0016 4% 0.0016
0.004 0.004
0% Varianza 0%

0.0016 0.0016 (0.00160000)


0.0004 0.0004 (0.00040000)
0 0 0.00000000
0.0004 0.0004 (0.00040000)
0.0016 0.0016 (0.00160000)
0.004 0.004 (0.00400000)

#VALUE!
0.5 0.5
0.12
0%

0.0016 0.0016 (0.00160000)


0.0004 0.0004 (0.00040000)
0 0 0.00000000
0.0004 0.0004 (0.00040000)
0.0016 0.0016 (0.00160000)
0.004 0.004 (0.00400000)
0
0.5 0.5
0%

0.00013456 0.01669264 (0.00149872)


0.00198916 0.00158404 0.00177508
0.00086436 0.00501264 (0.00208152)
0.00104976 0.00419904 (0.00209952)
0.00003136 0.00213444 (0.00025872)
0.0040692 0.0296228 (0.00416340)

0.8040734148 0.195926585
0.0941192752
2.48%
2.478%
kj kj-k (kj-k)^2 Pi (kj-k)^2*pi
1 13% -2% 0.0004 0.25 0.0001
2 15% 0% 0 0.5 0
3 17% 2% 0.0004 0.25 0.0001

15% 0.0002

Dev Estándar 1.41%

kj kj-k (kj-k)^2 Pi (kj-k)^2*pi


1 7% -8% 0.0064 0.25 0.0016
2 15% 0% 0 0.5 0
3 23% 8% 0.0064 0.25 0.0016

15% 0.0032

Dev Estándar 5.66%